Instruments of RT-2 Experiment onboard CORONAS-PHOTON and their test and evaluation IV: Background Simulations using GEANT-4 Toolkit

Hard X-ray detectors in space are prone to background signals due to the ubiquitous cosmic rays and cosmic diffuse background radiation that continuously bombards the satellites which carry the detectors. In general, the background intensity depends on the space environment as well as the material surrounding the detectors. Understanding the behavior of the background noise in the detector is very important to extract the precise source information from the detector data. In this paper, we carry out Monte Carlo simulations using the GEANT-4 toolkit to estimate the prompt background noise measured with the detectors of the RT-2 Experiment onboard the CORONAS-PHOTON satellite.Comment: 21 pages, 10 figures, Accepted for publication in Experimental Astronomy (in press

Simulation and hedging oil price with geometric Brownian Motion and single-step binomial price model

This paper[1] uses the Geometric Brownian Motion (GBM) to model the behaviour of crude oil price in a Monte Carlo simulation framework. The performance of the GBM method is compared with the naïve strategy using different forecast evaluation techniques. The results from the forecasting accuracy statistics suggest that the GBM outperforms the naïve model and can act as a proxy for modelling movement of oil prices. We also test the empirical viability of using a call option contract to hedge oil price declines. The results from the simulations reveal that the single-step binomial price model can be effective in hedging oil price volatility. The findings from this paper will be of interest to the government of Nigeria that views the price of oil as one of the key variables in the national budget. JEL Classification Numbers: E64; C22; Q30 Keywords: Oil price volatility; Geometric Brownian Motion; Monte Carlo Simulation; Single-Step Binomial Price Model [1] Acknowledgement: We wish to thank the two anonymous reviewers for their insightful comments and kind considerations. Memos to: Azeez Abiola Oyedele, School of Business and Enterprise, University of the West of Scotland, Paisley Campus, Paisley PA1 2BE, Scotland, Email: [email protected]

Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio

This paper analyses the impact of different credit risk-based capital requirement implementations on banks' need for capital. The capital requirements for an artificially constructed risky loan portfolio are calculated by applying the BIS approach, the two widespread commercial risk-measurement models, CreditMetrics and CreditRisk+, and, finally, an original synthetic model similar to KMV. In the first three cases we closely follow the methodologies proposed by the regulatory or credit risk models. Economic capital requirements for the latter are obtained by means of Monte Carlo simulations. In the context of CreditMetrics, we additionally perform a Monte Carlo-based stress testing of the monetary policy changes reflected in the term structure of interest rates. Our model of KMV type combines the elements of the structural and the reduced-form methods of risky debt pricing, and the possibilities of its numerical solution are outlined.credit risk, economic capital, market risk, New Basel Capital Accord, systemic uncertainty.

The investment response to temporary commodity price shocks

The paper is concerned with the investment response to temporary trade shocks when capital in the commodity and import-competing sectors is irreversible once installed. Previous literature has argued in general terms that investment is likely to rise in response to sharp relative price movements because the return to capital in one of the sectors will increase. A rigorous model of investment under uncertainty in the two-sector commodity price shocks context is developed and used to investigate this issue. It is shown that investment booms in response to commodity price shocks are likely but not certain to occur and a boom at the end of the shock may also be expected. The predictions of the theory are shown to be consistent with the evidence from a small sample of countries during the late 1970s coffee/cocoa boom.

Observational Validation of The Compensating Mass Flux Through The Shell Around Cumulus Clouds

The existence of a subsiding shell around cumulus clouds has been observed before in several aircraft measurement campaigns. Recent results from large-eddy simulations (LES) showed that the downward mass flux through the shell compensates for a significant fraction of the upward mass flux through the cloud. In this study, aeroplane measurements from the Rain In Cumulus over the Ocean (RICO) field campaign are used to verify the existence of this compensating mass flux. Just as in the LES results, the in-shell downward mass flux is found to be significant. However, a few differences were found in comparison with the LES results; most of them were explained by taking into account the difference between the two-dimensional slabs in LES and the one-dimensional lines from aeroplane observations

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.

Estimating water flow through a hillslope using the massively parallel processor

A new two-dimensional model of water flow in a hillslope has been implemented on the Massively Parallel Processor at the Goddard Space Flight Center. Flow in the soil both in the saturated and unsaturated zones, evaporation and overland flow are all modelled, and the rainfall rates are allowed to vary spatially. Previous models of this type had always been very limited computationally. This model takes less than a minute to model all the components of the hillslope water flow for a day. The model can now be used in sensitivity studies to specify which measurements should be taken and how accurate they should be to describe such flows for environmental studies