56,389 research outputs found
Pricing and hedging in incomplete markets with coherent risk
We propose a pricing technique based on coherent risk measures, which enables
one to get finer price intervals than in the No Good Deals pricing. The main
idea consists in splitting a liability into several parts and selling these
parts to different agents. The technique is closely connected with the
convolution of coherent risk measures and equilibrium considerations.
Furthermore, we propose a way to apply the above technique to the coherent
estimation of the Greeks
CAPM, rewards, and empirical asset pricing with coherent risk
The paper has 2 main goals: 1. We propose a variant of the CAPM based on
coherent risk. 2. In addition to the real-world measure and the risk-neutral
measure, we propose the third one: the extreme measure. The introduction of
this measure provides a powerful tool for investigating the relation between
the first two measures. In particular, this gives us - a new way of measuring
reward; - a new approach to the empirical asset pricing
Dark Energy and Dark Matter Interaction: Kernels of Volterra Type and Coincidence Problem
We study a new exactly solvable model of coupling of the Dark Energy and Dark
Matter, in the framework of which the kernel of non-gravitational interaction
is presented by the integral Volterra-type operator well-known in the classical
theory of fading memory. Exact solutions of this isotropic homogeneous
cosmological model were classified with respect to the sign of the discriminant
of the cubic characteristic polynomial associated with the key equation of the
model. Energy-density scalars of the Dark Energy and Dark Matter, the Hubble
function and acceleration parameter are presented explicitly; the scale factor
is found in quadratures. Asymptotic analysis of the exact solutions has shown
that the Big Rip, Little Rip, Pseudo Rip regimes can be realized with the
specific choice of guiding parameters of the model. We show that the
Coincidence problem can be solved if we consider the memory effect associated
with the interactions in the Dark Sector of the Universe.Comment: 15 pages, 0 figures, Invited paper for the Special Issue
"Cosmological Inflation, Dark Matter and Dark Energy" of the Journal Symmetry
(MDPI), Special Issue Editor: Kazuharu Bamb
Coherent measurement of factor risks
We propose a new procedure for the risk measurement of large portfolios. It
employs the following objects as the building blocks: - coherent risk measures
introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures
introduced in this paper, which assess the risks driven by particular factors
like the price of oil, S&P500 index, or the credit spread; - risk contributions
and factor risk contributions, which provide a coherent alternative to the
sensitivity coefficients.
We also propose two particular classes of coherent risk measures called Alpha
V@R and Beta V@R, for which all the objects described above admit an extremely
simple empirical estimation procedure. This procedure uses no model assumptions
on the structure of the price evolution.
Moreover, we consider the problem of the risk management on a firm's level.
It is shown that if the risk limits are imposed on the risk contributions of
the desks to the overall risk of the firm (rather than on their outstanding
risks) and the desks are allowed to trade these limits within a firm, then the
desks automatically find the globally optimal portfolio
Rapid rotation of a Bose-Einstein condensate in a harmonic plus quartic trap
A two-dimensional rapidly rotating Bose-Einstein condensate in an anharmonic
trap with quadratic and quartic radial confinement is studied analytically with
the Thomas-Fermi approximation and numerically with the full time-independent
Gross-Pitaevskii equation. The quartic trap potential allows the rotation speed
to exceed the radial harmonic frequency . In the regime
, the condensate contains a dense vortex array
(approximated as solid-body rotation for the analytical studies). At a critical
angular velocity , a central hole appears in the condensate.
Numerical studies confirm the predicted value of , even for
interaction parameters that are not in the Thomas-Fermi limit. The behavior is
also investigated at larger angular velocities, where the system is expected to
undergo a transition to a giant vortex (with pure irrotational flow).Comment: 14 pages, 5 figure
Orbital moment of a single Co atom on a Pt(111) surface - a view from correlated band theory
The orbital magnetic moment of a Co adatom on a Pt(111) surface is calculated
in good agreement with experimental data making use of the LSDA+U method. It is
shown that both electron correlation induced orbital polarization and
structural relaxation play essential roles in orbital moment formation. The
microscopic origins of the orbital moment enhancement are discussed
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