Multi-bank loan pool contracts

EFM classification: 330, 350We show that multi-bank loan pools improve the risk-return profile of banks’ loan business. Banks write simple contracts on the proceeds from pooled loan portfolios, taking into account the free-rider problems in joint loan production. Thus, banks benefit greatly from diversifying credit risk while limiting the efficiency loss due to adverse incentives. We present calibration results that the formation of loan pools reduce the volatility in default rates, proxying for credit risk, of participating banks’ loan portfolios by roughly 70% in our sample. Under reasonable assumptions, the gain in return on equity (in certainty equivalent terms) is around 20 basis points annually

Discrete logarithms in curves over finite fields

A survey on algorithms for computing discrete logarithms in Jacobians of curves over finite fields

Matrix product states for su(2)su(2) invariant quantum spin chains

A systematic and compact treatment of arbitrary $su(2)$ invariant spin-$s$ quantum chains with nearest-neighbour interactions is presented. The ground-state is derived in terms of matrix product states (MPS). The fundamental MPS calculations consist of taking products of basic tensors of rank 3 and contractions thereof. The algebraic $su(2)$ calculations are carried out completely by making use of Wigner calculus. As an example of application, the spin-1 bilinear-biquadratic quantum chain is investigated. Various physical quantities are calculated with high numerical accuracy of up to 7 digits. We obtain explicit results for the ground-state energy, entanglement entropy, singlet operator correlations and the string order parameter. We find interesting crossover phenomena in the correlation lengths.Comment: 15 pages, 10 figure

Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

The (asymptotic) behaviour of the second moment of solutions to stochastic differential equations is treated in mean-square stability analysis. This property is discussed for approximations of infinite-dimensional stochastic differential equations and necessary and sufficient conditions ensuring mean-square stability are given. They are applied to typical discretization schemes such as combinations of spectral Galerkin, finite element, Euler-Maruyama, Milstein, Crank-Nicolson, and forward and backward Euler methods. Furthermore, results on the relation to stability properties of corresponding analytical solutions are provided. Simulations of the stochastic heat equation illustrate the theory.Comment: 22 pages, 4 figures; deleted a section; shortened the presentation of results; corrected typo

Signal processing methods for EEG data classification

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To Have To Do With The Law: An Essay

This is an experimental text with three voices. The first one is an autoethnographic study of being called on jury service at the Old Bailey, London. The second is a theoretical voice, analysing the theory of the lawscape as I have developed it in my writings, in combination with issues about atmospherics, enclosures, control of bodies and spaces, and temporalities of law. The third voice operates as commentary on the other two and the whole chapter as such, offering an antilogos to the traditional understanding of essay writing, especially for law students but also for academics. This last voice suggests the disruption of the flow of textuality in order for materiality to flood in

Decay, interference, and chaos: How simple atoms mimic disorder

We establish a close quantitative analogy between the excitation and ionization process of highly excited one electron Rydberg states under microwave driving and charge transport across disordered 1D lattices. Our results open a new arena for Anderson localization - a disorder induced effect - in a large class of perfectly deterministic, decaying atomic systems.Comment: 6 pages, 4 figures (2 in colour), proceedings of The International Conference on Multiphoton Processes (ICOMP IX), October 2002: http://www.iesl.forth.gr/icomp9 ;submitted to EP