Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization

We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to any prespecified factor-model. An asymptotic solution to this, a priori computationally intractable, problem is represented as the limit of a 1-parameter family of optimizers to computationally tractable model selection tasks. Each of these simplified model-selection tasks seeks to learn the most similar model, to the prescribed factor-model, subject to a penalty detecting when the reference measure is a local martingale-measure for the entire underlying financial market. A simple expression for the penalty terms is obtained in the bond market withing the affine-term structure setting, and it is used to formulate a deep-learning approach to arbitrage-free affine term-structure modelling. Numerical implementations are also performed to evaluate the performance in the bond market.Comment: 23 Pages + Reference

Shape manipulation using physically based wire deformations

This paper develops an efficient, physically based shape manipulation technique. It defines a 3D model with profile curves, and uses spine curves generated from the profile curves to control the motion and global shape of 3D models. Profile and spine curves are changed into profile and spine wires by specifying proper material and geometric properties together with external forces. The underlying physics is introduced to deform profile and spine wires through the closed form solution to ordinary differential equations for axial and bending deformations. With the proposed approach, global shape changes are achieved through manipulating spine wires, and local surface details are created by deforming profile wires. A number of examples are presented to demonstrate the applications of our proposed approach in shape manipulation

Study of weakly-bound odd-A nuclei with quasiparticle blocking

The coordinate-space Hartree-Fock-Bogoliubov (HFB) approach with quasiparticle blocking has been applied to study the odd-A weakly bound nuclei $^{17,19}$B and $^{37}$Mg, in which halo structures have been reported in experiments. The Skyrme nuclear forces SLy4 and UNEDF1 have been adopted in our calculations. The results with and without blocking have been compared to demonstrate the emergence of deformed halo structures due to blocking effects. In our calculations, $^{19}$B and $^{37}$Mg have remarkable features of deformed halos.Comment: 7 pages, 4 figures, 1 tabl

Large-amplitude Qn-Qp collectivity in the neutron-rich oxygen isotope 20O

By means of HFB calculations with independent constraints on axial neutron and proton quadrupole moments Q_n and Q_p, we investigate the large amplitude isoscalar and isovector deformation properties of the neutron-rich isotope 20O. Using the particle-number and angular-momentum projected Generator Coordinate Method, we analyze the collective dynamics in the {Q_n, Q_p} plane. The parameterization SLy4 of the Skyrme interaction is used for all calculations in connection with a density-dependent zero-range pairing interaction. Our results show that already for this moderately neutron-rich nucleus the transition moments are modified when independent neutron and proton collective dynamics are allowed.Comment: 8 pages REVTEX, 5 eps figure

Out-Of-Focus Holography at the Green Bank Telescope

We describe phase-retrieval holography measurements of the 100-m diameter Green Bank Telescope using astronomical sources and an astronomical receiver operating at a wavelength of 7 mm. We use the technique with parameterization of the aperture in terms of Zernike polynomials and employing a large defocus, as described by Nikolic, Hills & Richer (2006). Individual measurements take around 25 minutes and from the resulting beam maps (which have peak signal to noise ratios of 200:1) we show that it is possible to produce low-resolution maps of the wavefront errors with accuracy around a hundredth of a wavelength. Using such measurements over a wide range of elevations, we have calculated a model for the wavefront-errors due to the uncompensated gravitational deformation of the telescope. This model produces a significant improvement at low elevations, where these errors are expected to be the largest; after applying the model, the aperture efficiency is largely independent of elevation. We have also demonstrated that the technique can be used to measure and largely correct for thermal deformations of the antenna, which often exceed the uncompensated gravitational deformations during daytime observing. We conclude that the aberrations induced by gravity and thermal effects are large-scale and the technique used here is particularly suitable for measuring such deformations in large millimetre wave radio telescopes.Comment: 10 pages, 7 figures (accepted by Astronomy & Astrophysics

Modeling interest rate dynamics: an infinite-dimensional approach

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of the short rate, the long rate and the fluctuations of the curve around its average shape. This fluctuation is then described as a solution of a stochastic evolution equation in an infinite dimensional space. In the case where deformations are local in maturity, this equation reduces to a stochastic PDE, of which we give the simplest example. We discuss the properties of the solutions and show that they capture in a parsimonious manner the essential features of yield curve dynamics: imperfect correlation between maturities, mean reversion of interest rates and the structure of principal components of term structure deformations. Finally, we discuss calibration issues and show that the model parameters have a natural interpretation in terms of empirically observed quantities.Comment: Keywords: interest rates, stochastic PDE, term structure models, stochastic processes in Hilbert space. Other related works may be retrieved on http://www.eleves.ens.fr:8080/home/cont/papers.htm

Viscous regularization and r-adaptive remeshing for finite element analysis of lipid membrane mechanics

As two-dimensional fluid shells, lipid bilayer membranes resist bending and stretching but are unable to sustain shear stresses. This property gives membranes the ability to adopt dramatic shape changes. In this paper, a finite element model is developed to study static equilibrium mechanics of membranes. In particular, a viscous regularization method is proposed to stabilize tangential mesh deformations and improve the convergence rate of nonlinear solvers. The Augmented Lagrangian method is used to enforce global constraints on area and volume during membrane deformations. As a validation of the method, equilibrium shapes for a shape-phase diagram of lipid bilayer vesicle are calculated. These numerical techniques are also shown to be useful for simulations of three-dimensional large-deformation problems: the formation of tethers (long tube-like exetensions); and Ginzburg-Landau phase separation of a two-lipid-component vesicle. To deal with the large mesh distortions of the two-phase model, modification of vicous regularization is explored to achieve r-adaptive mesh optimization

Orbital magnetism in axially deformed sodium clusters: From scissors mode to dia-para magnetic anisotropy

Low-energy orbital magnetic dipole excitations, known as scissors mode (SM), are studied in alkali metal clusters. Subsequent dynamic and static effects are explored. The treatment is based on a self-consistent microscopic approach using the jellium approximation for the ionic background and the Kohn-Sham mean field for the electrons. The microscopic origin of SM and its main features (structure of the mode in light and medium clusters, separation into low- and high-energy plasmons, coupling high-energy M1 scissors and E2 quadrupole plasmons, contributions of shape isomers, etc) are discussed. The scissors M1 strength acquires large values with increasing cluster size. The mode is responsible for the van Vleck paramagnetism of spin-saturated clusters. Quantum shell effects induce a fragile interplay between Langevin diamagnetism and van Vleck paramagnetism and lead to a remarkable dia-para anisotropy in magnetic susceptibility of particular light clusters. Finally, several routes for observing the SM experimentally are discussed.Comment: 21 pages, 7 figure

Jahn-Teller orbital glass state in the expanded fcc Cs3C60 fulleride

The most expanded fcc-structured alkali fulleride, Cs3C60, is a Mott insulator at ambient pressure because of the weak overlap between the frontier t1u molecular orbitals of the C603− anions. It has a severely disordered antiferromagnetic ground state that becomes a superconductor with a high critical temperature, Tc of 35 K upon compression. The effect of the localised t1u3 electronic configuration on the properties of the material is not well-understood. Here we study the relationship between the intrinsic crystallographic C603− orientational disorder and the molecular Jahn–Teller (JT) effect dynamics in the Mott insulating state. The high-resolution 13C magic-angle-spinning (MAS) NMR spectrum at room temperature comprises three peaks in the intensity ratio 1:2:2 consistent with the presence of three crystallographically-inequivalent carbon sites in the fcc unit cell and revealing that the JT-effect dynamics are fast on the NMR time-scale of 10−5 s despite the presence of the frozen-in C603− merohedral disorder disclosed by the 133Cs MAS NMR fine splitting of the tetrahedral and octahedral 133Cs resonances. Cooling to sub-liquid-nitrogen temperatures leads to severe broadening of both the 13C and 133Cs MAS NMR multiplets, which provides the signature of an increased number of inequivalent 13C and 133Cs sites. This is attributed to the freezing out of the C603− JT dynamics and the development of a t1u electronic orbital glass state guided by the merohedral disorder of the fcc structure. The observation of the dynamic and static JT effect in the Mott insulating state of the metrically cubic but merohedrally disordered Cs3C60 fulleride in different temperature ranges reveals the intimate relation between charge localization, magnetic ground state, lifting of electronic degeneracy, and orientational disorder in these strongly-correlated systems