Precautionary Measures for Credit Risk Management in Jump Models

Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns is when to raise more capital so as not to violate capital adequacy requirements. In this paper, we model the tradeoff between avoiding costs of delay and premature capital raising, and solve the corresponding optimal stopping problem. In order to model defaults in a bank's loan/credit business portfolios, we represent its net worth by Levy processes, and solve explicitly for the double exponential jump diffusion process and for a general spectrally negative Levy process.Comment: 31 pages, 4 figure

The stellar IMF from Isothermal MHD Turbulence

We address the turbulent fragmentation scenario for the origin of the stellar initial mass function (IMF), using a large set of numerical simulations of randomly driven supersonic MHD turbulence. The turbulent fragmentation model successfully predicts the main features of the observed stellar IMF assuming an isothermal equation of state without any stellar feedback. As a test of the model, we focus on the case of a magnetized isothermal gas, neglecting stellar feedback, while pursuing a large dynamic range in both space and timescales covering the full spectrum of stellar masses from brown dwarfs to massive stars. Our simulations represent a generic 4 pc region within a typical Galactic molecular cloud, with a mass of 3000 Msun and an rms velocity 10 times the isothermal sound speed and 5 times the average Alfven velocity, in agreement with observations. We achieve a maximum resolution of 50 au and a maximum duration of star formation of 4.0 Myr, forming up to a thousand sink particles whose mass distribution closely matches the observed stellar IMF. A large set of medium-size simulations is used to test the sink particle algorithm, while larger simulations are used to test the numerical convergence of the IMF and the dependence of the IMF turnover on physical parameters predicted by the turbulent fragmentation model. We find a clear trend toward numerical convergence and strong support for the model predictions, including the initial time evolution of the IMF. We conclude that the physics of isothermal MHD turbulence is sufficient to explain the origin of the IMF.Comment: 25 pages, 21 figures, Accepted by Ap

Convergence of CI single center calculations of positron-atom interactions

The Configuration Interaction (CI) method using orbitals centered on the nucleus has recently been applied to calculate the interactions of positrons interacting with atoms. Computational investigations of the convergence properties of binding energy, phase shift and annihilation rate with respect to the maximum angular momentum of the orbital basis for the e^+Cu and PsH bound states, and the e^+-H scattering system were completed. The annihilation rates converge very slowly with angular momentum, and moreover the convergence with radial basis dimension appears to be slower for high angular momentum. A number of methods of completing the partial wave sum are compared, an approach based on a Delta X_J = a/(J + 1/2)^n + b/(J + 1/2)^(n+1) form (with n = 4 for phase shift (or energy) and n = 2 for the annihilation rate) seems to be preferred on considerations of utility and underlying physical justification.Comment: 23 pages preprint RevTeX, 11 figures, submitted to PR

Extensions of the siesta dft code for simulation of molecules

We describe extensions to the siesta density functional theory (dft) code [30], for the simulation of isolated molecules and their absorption spectra. The extensions allow for: - Use of a multi-grid solver for the Poisson equation on a finite dft mesh. Non-periodic, Dirichlet boundary conditions are computed by expansion of the electric multipoles over spherical harmonics. - Truncation of a molecular system by the method of design atom pseudo- potentials of Xiao and Zhang[32]. - Electrostatic potential fitting to determine effective atomic charges. - Derivation of electronic absorption transition energies and oscillator stren- gths from the raw spectra produced by a recently described, order O(N3), time-dependent dft code[21]. The code is furthermore integrated within siesta as a post-processing option

Information Percolation with Equilibrium Search Dynamics

We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search for others from whom they can gather additional information. When two agents meet, they share their information. The information gathered is further shared at subsequent meetings, and so on. Equilibria exist in which agents search maximally until they acquire sufficient information precision, and then minimally. A tax whose proceeds are used to subsidize the costs of search improves information sharing and can in some cases increase welfare. On the other hand, endowing agents with public signals reduces information sharing and can in some cases decrease welfare