CDO term structure modelling with Levy processes and the relation to market models

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional L\'evy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we study the relation to market models by embedding them in the forward rate framework in spirit of Brace, Gatarek and Musiela (1997).Comment: 16 page

Failure detection and isolation investigation for strapdown skew redundant tetrad laser gyro inertial sensor arrays

The degree to which flight-critical failures in a strapdown laser gyro tetrad sensor assembly can be isolated in short-haul aircraft after a failure occurrence has been detected by the skewed sensor failure-detection voting logic is investigated along with the degree to which a failure in the tetrad computer can be detected and isolated at the computer level, assuming a dual-redundant computer configuration. The tetrad system was mechanized with two two-axis inertial navigation channels (INCs), each containing two gyro/accelerometer axes, computer, control circuitry, and input/output circuitry. Gyro/accelerometer data is crossfed between the two INCs to enable each computer to independently perform the navigation task. Computer calculations are synchronized between the computers so that calculated quantities are identical and may be compared. Fail-safe performance (identification of the first failure) is accomplished with a probability approaching 100 percent of the time, while fail-operational performance (identification and isolation of the first failure) is achieved 93 to 96 percent of the time

Stress Tensor Correlators in the Schwinger-Keldysh Formalism

We express stress tensor correlators using the Schwinger-Keldysh formalism. The absence of off-diagonal counterterms in this formalism ensures that the +- and -+ correlators are free of primitive divergences. We use dimensional regularization in position space to explicitly check this at one loop order for a massless scalar on a flat space background. We use the same procedure to show that the ++ correlator contains the divergences first computed by `t Hooft and Veltman for the scalar contribution to the graviton self-energy.Comment: 14 pages, LaTeX 2epsilon, no figures, revised for publicatio

Analysis of Fourier transform valuation formulas and applications

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff function and the process arises naturally. We also extend these results to the multi-dimensional case, and discuss the calculation of Greeks by Fourier transform methods. As an application, we price options on the minimum of two assets in L\'evy and stochastic volatility models.Comment: 26 pages, 3 figures, to appear in Appl. Math. Financ

Potential between external monopole and antimonopole in SU(2) lattice glu odynamics

We present the results of a study of the free energy of a monopole pair in pure SU(2) theory at finite temperature, both below and above the deconfinement tran sition. We find a Yukawa potential between monopoles in both phases. At low temp erature, the screening mass is compatible with the lightest glueball mass. At hi gh temperature, we observe an increased screening mass with no apparent disconti nuity at the phase transition.Comment: LATTICE 99 (Topology and Confinement

LpL^p-Spectral theory of locally symmetric spaces with QQ-rank one

We study the $L^p$-spectrum of the Laplace-Beltrami operator on certain complete locally symmetric spaces $M=\Gamma\backslash X$ with finite volume and arithmetic fundamental group $\Gamma$ whose universal covering $X$ is a symmetric space of non-compact type. We also show, how the obtained results for locally symmetric spaces can be generalized to manifolds with cusps of rank one

New Spirometry Indices for Detecting Mild Airflow Obstruction.

The diagnosis of chronic obstructive pulmonary disease (COPD) relies on demonstration of airflow obstruction. Traditional spirometric indices miss a number of subjects with respiratory symptoms or structural lung disease on imaging. We hypothesized that utilizing all data points on the expiratory spirometry curves to assess their shape will improve detection of mild airflow obstruction and structural lung disease. We analyzed spirometry data of 8307 participants enrolled in the COPDGene study, and derived metrics of airflow obstruction based on the shape on the volume-time (Parameter D), and flow-volume curves (Transition Point and Transition Distance). We tested associations of these parameters with CT measures of lung disease, respiratory morbidity, and mortality using regression analyses. There were significant correlations between FEV1/FVC with Parameter D (r = -0.83; p < 0.001), Transition Point (r = 0.69; p < 0.001), and Transition Distance (r = 0.50; p < 0.001). All metrics had significant associations with emphysema, small airway disease, dyspnea, and respiratory-quality of life (p < 0.001). The highest quartile for Parameter D was independently associated with all-cause mortality (adjusted HR 3.22,95% CI 2.42-4.27; p < 0.001) but a substantial number of participants in the highest quartile were categorized as GOLD 0 and 1 by traditional criteria (1.8% and 33.7%). Parameter D identified an additional 9.5% of participants with mild or non-recognized disease as abnormal with greater burden of structural lung disease compared with controls. The data points on the flow-volume and volume-time curves can be used to derive indices of airflow obstruction that identify additional subjects with disease who are deemed to be normal by traditional criteria

IgE-Mediated Hypersensitivity Reactions to Cannabis in Laboratory Personnel

Background: There have been sporadic reports of hypersensitivity reactions to plants of the Cannabinaceae family (hemp and hops), but it has remained unclear whether these reactions are immunologic or nonimmunologic in nature. Objective: We examined the IgE-binding and histamine-releasing properties of hashish and marijuana extracts by CAP-FEIA and a basophil histamine release test. Methods: Two workers at a forensic laboratory suffered from nasal congestion, rbinitis, sneezing and asthmatic symptoms upon occupational contact with hashish or marijuana, which they had handled frequently for 25 and 16 years, respectively. Neither patient had a history of atopic disease. Serum was analyzed for specific IgE antibodies to hashish or marijuana extract by research prototype ImmunoCAP, and histamine release from basophils upon exposure to hashish or marijuana extracts was assessed. Results were matched to those of 4 nonatopic and 10 atopic control subjects with no known history of recreational or occupational exposure to marijuana or hashish. Results: Patient 1 had specific IgE to both hashish and marijuana (CAP class 2), and patient 2 to marijuana only (CAP class 2). Controls proved negative for specific IgE except for 2 atopic individuals with CAP class 1 to marijuana and 1 other atopic individual with CAP class 1 to hashish. Stimulation of basophils with hashish or marijuana extracts elicited histamine release from basophils of both patients and 4 atopic control subjects. Conclusions: Our results suggest an IgE-related pathomechanism for hypersensitivity reactions to marijuana or hashish. Copyright (C) 2011 S. Karger AG, Base

Sonoluminescence as a QED vacuum effect. I: The Physical Scenario

Several years ago Schwinger proposed a physical mechanism for sonoluminescence in terms of changes in the properties of the quantum-electrodynamic (QED) vacuum state. This mechanism is most often phrased in terms of changes in the Casimir Energy: changes in the distribution of zero-point energies and has recently been the subject of considerable controversy. The present paper further develops this quantum-vacuum approach to sonoluminescence: We calculate Bogolubov coefficients relating the QED vacuum states in the presence of a homogeneous medium of changing dielectric constant. In this way we derive an estimate for the spectrum, number of photons, and total energy emitted. We emphasize the importance of rapid spatio-temporal changes in refractive indices, and the delicate sensitivity of the emitted radiation to the precise dependence of the refractive index as a function of wavenumber, pressure, temperature, and noble gas admixture. Although the physics of the dynamical Casimir effect is a universal phenomenon of QED, specific experimental features are encoded in the condensed matter physics controlling the details of the refractive index. This calculation places rather tight constraints on the possibility of using the dynamical Casimir effect as an explanation for sonoluminescence, and we are hopeful that this scenario will soon be amenable to direct experimental probes. In a companion paper we discuss the technical complications due to finite-size effects, but for reasons of clarity in this paper we confine attention to bulk effects.Comment: 25 pages, LaTeX 209, ReV-TeX 3.2, eight figures. Minor revisions: Typos fixed, references updated, minor changes in numerical estimates, minor changes in some figure

Quantum radiation in a plane cavity with moving mirrors

We consider the electromagnetic vacuum field inside a perfect plane cavity with moving mirrors, in the nonrelativistic approximation. We show that low frequency photons are generated in pairs that satisfy simple properties associated to the plane geometry. We calculate the photon generation rates for each polarization as functions of the mechanical frequency by two independent methods: on one hand from the analysis of the boundary conditions for moving mirrors and with the aid of Green functions; and on the other hand by an effective Hamiltonian approach. The angular and frequency spectra are discrete, and emission rates for each allowed angular direction are obtained. We discuss the dependence of the generation rates on the cavity length and show that the effect is enhanced for short cavity lengths. We also compute the dissipative force on the moving mirrors and show that it is related to the total radiated energy as predicted by energy conservation.Comment: 17 pages, 1 figure, published in Physical Review