On the variation of hedging decisions in daily currency risk management

Internationally operating firms naturally face the decision whether or not to hedge the currency risk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk evaluate the returns from optimal and alternative currency hedging strategies, for a series of 7 models, using Bayesian inference and decision analysis. The models differ in the way time-varying means, variances or the unconditional error distributions are incorporated. In this extension, we compare the hedging decisions and financial returns and utilities as they result from the modelling assumptions and the attitudes towards risk

Daily exchange rate behaviour and hedging of currency risk

Exchange rates typically exhibit time-varying patterns in both means and variances. The histograms of such series indicate heavy tails. In this paper we construct models which enable a decision-maker to analyze the implications of such time series patterns for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance densities) are investigated in relation to the hedging decision strategies. Consequently, we can make a distinction between statistical relevance of model specifications, and the economic consequences from a risk management point of view. The empirical results suggest that econometric modelling of heavy tails and time-varying means and variances pays off compared to a efficient markets model. The different ways to measure persistence and changing volatilities appear to strongly influence the hedging decision the investor faces

Aspects of meson properties in dense nuclear matter

We investigate the modification of meson spectral densities in dense nuclear matter at zero temperature. These effects are studied in a fully relativistic mean field model which goes beyond the linear density approximation and also includes baryon resonances. In particular, the role of N*(1520) and N*(1720) on the rho meson spectral density is highlighted. Even though the nucleon-nucleon loop and the nucleon-resonance loop contribute with the opposite sign, an overall reduction of rho meson mass is still observed at high density. Importantly, it is shown that the resonances cause substantial broadening of the rho meson spectral density in matter and also induces non-trivial momentum dependence. The spectral density of the a0 meson is also shown. We study the dispersion relations and collective oscillations induced by the rho meson propagation in nuclear matter together with the influence of the mixing of rho with the a0 meson. The relevant expression for the plasma frequency is also recovered analytically in the appropriate limit.Comment: 19 pages, 17 figure

Development of a mathematical equation describing the strain hardening behaviour of metastable AISI 301 austenitic stainless steel

The strain hardening behaviour of AISI 301 metastable austenite steel was analysed by evaluating tensile data against the empirical mathematical equations of Hollomon, Ludwik and Ludwigson. It was found that these equations were inadequate to model this TRIP steel with low stacking fault energy (SFE). It was found that the fraction of strain-induced martensite could be expressed as a sigmoidal function of the applied strain. The log-log plots of true stress and true plastic strain from 5% to εUTS performed with uniaxial isothermal tests at 30 oC were thereafter adequately fitted with a sigmoidal curve. The instantaneous strain hardening exponent was determined as the slope of the above-mentioned sigmoidal curve at a specific strain value. The strain hardening exponent and the rate of strain hardening (dσ/dε) increases with deformation due to formation of strain-induced martensite to a maximum and thereafter decreases as the volume fraction of strain-induced martensite approximates saturation. The variation of the instantaneous strain hardening exponent as a function of plastic strain and the strength coefficient, K, at 30 oC was deduced. A high value of K, 1526MPa, was determined. A correlation between the extent of martensitic transformation and the value of the instantaneous strain hardening exponent was observed. This work is part of the project that seeks to develop a constitutive model describing the flow stress during plastic deformation as a function of both plastic strain and the resulting martensitic transformation at different temperatures and strain rates and which accounts for the isotropic hardening process.Columbus Stainless Steel companyhttp://iopscience.iop.org/journal/1757-899Xam2020Materials Science and Metallurgical Engineerin

The direct observation of surface martensite formation upon cooling to temperatures close to ambient in a heat treated AISI 301 stainless steel

Martensitic transformation, either athermal or strain-induced, in metastable AISI 301 austenitic steel is of high technical interest as this facilitates manipulation of mechanical properties. This work is part of a project aimed at identifying the influence of variables that determine the athermal α′-martensitic transformation in this steel in order to ensure consistent martensite formation and optimized mechanical properties. The influences of initial austenitic grain size and surface concentrations of interstitial elements (C, N) on martensite start temperature were investigated. The surface concentrations of both carbon and nitrogen were decreased through decarburisation and the formation of martensite upon cooling from ambient temperatures was directly observed using a cryogenic Scanning Electron Microscope (cryo- SEM). It was found that martensite formed on the heat-treated surfaces at much higher temperatures than that expected for AISI 301 steel. The observations were confirmed using electron backscatter diffraction (EBSD). Other analytical techniques including glow-discharge optical emission spectroscopy (GDOES), and Neutron Diffraction were carried out to explain the observations.Columbus Stainless Steel companyhttp://iopscience.iop.org/journal/1757-899Xam2019Materials Science and Metallurgical Engineerin

Constraining the Unitarity Triangle with B -> V gamma

We discuss the exclusive radiative decays $B\to K^{*}\gamma$, $B \to\rho\gamma$, and $B\to\omega\gamma$ in QCD factorization within the Standard Model. The analysis is based on the heavy-quark limit of QCD. Our results for these decays are complete to next-to-leading order in QCD and to leading order in the heavy-quark limit. Special emphasis is placed on constraining the CKM-unitarity triangle from these observables. We propose a theoretically clean method to determine CKM parameters from the ratio of the $B\to\rho l\nu$ decay spectrum to the branching fraction of $B\to\rho\gamma$. The method is based on the cancellation of soft hadronic form factors in the large energy limit, which occurs in a suitable region of phase space. The ratio of the $B\to\rho\gamma$ and $B\to K^{*}\gamma$ branching fractions determines the side $R_{t}$ of the standard unitarity triangle with reduced hadronic uncertainties. The recent Babar bound on $B(B^0\to\rho^0\gamma)$ implies $R_t < 0.81 (\xi/1.3)$, with the limiting uncertainty coming only from the SU(3) breaking form factor ratio $\xi$. This constraint is already getting competitive with the constraint from $B_{s}$-$\bar B_{s}$ mixing. Phenomenological implications from isospin-breaking effects are briefly discussed.Comment: 23 pages, 8 figure

Ideal Gases in Time-Dependent Traps

We investigate theoretically the properties of an ideal trapped gas in a time-dependent harmonic potential. Using a scaling formalism, we are able to present simple analytical results for two important classes of experiments: free expansion of the gas upon release of the trap; and the response of the gas to a harmonic modulation of the trapping potential is investigated. We present specific results relevant to current experiments on trapped Fermions.Comment: 5 pages, 3 eps figure

Study of one-step and two-step quench and partition heat treatments on a medium carbon high silicon alloy using dilatometry

This study evaluated the microstructural evolution in a medium carbon high silicon steel during one-step, and two-step quench and partition (Q&P) processes using dilatometry experiments. The two-step Q&P process was carried out using different quench temperatures ranging from 180 to 260 oC. In the one-step process, Q&P heat treatment samples were held isothermally for ten minutes after quenching at specified temperatures ranging between 200 and 450oC. The two-step Q&P process yielded a higher fraction of retained austenite than a one-step Q&P process. During the isothermal hold step, the volume expansion due to carbon partitioning and austenite decomposition behavior was interpreted by experimentally determined strain values. For the one-step Q&P process, the austenite decomposition kinetics above and below the Ms temperature differed, as evidenced by the JMAK parameters. The TTT diagram generated for the one-step Q & P process showed a “swing back” at a temperature of around 355oC.Ferrous Metal Development Network (FMDN).http://www.satnt.ac.za/index.php/satntam2022Materials Science and Metallurgical Engineerin

Study of wear performance of wheel and rail steels under dry sliding conditions

The demand for efficient railway services has significantly increased in the past years due to an increased demand for the high-speed transportation of goods with high loads. The increase in loads and velocities has resulted in increased problems associated with rolling contact fatigue (RCF), rolling and sliding wear on the wheel and rail materials causing a reduction of service life of wheel/rail systems. Rail operating companies spend significant funds in maintenance and replacing damaged rails and wheels caused by wear. In addition, unscheduled maintenance due to wear and RCF often lead to poor availability of railway networks. For this study, dry sliding wear was investigated on wheel and rail steels using RTEC Multi-Function Tribometer. The results demonstrated that the rig was successful in simulating sliding wear, and that the fractions of the wear components could be varied, and it also provided instrumentation. Information on coefficient of friction against sliding distance and applied force were obtained which were used to compare sliding wear performance of both wheel and rail steels. The wheel was found to perform better than the rail under the same conditions due to its high initial hardness values and smaller interlamellar spacing.Mintekhttp://www.satnt.ac.za/index.php/satntam2022Materials Science and Metallurgical Engineerin

Rare radiative exclusive B decays in soft-collinear effective theory

We consider rare radiative B decays such as B -> K^* gamma or B -> rho gamma in soft-collinear effective theory, and show that the decay amplitudes are factorized to all orders in alpha_s and at leading order in Lambda/m_b.By employing two-step matching, we classify the operators for radiative B decays in powers of a small parameter lambda(~ \sqrt{Lambda/m_b}) and obtain the relevant operators to order lambda in SCET_I. These operators are constructed with or without spectator quarks including the four-quark operators contributing to annihilation and W-exchange channels. And we employ SCET_II where the small parameter becomes of order Lambda/m_b, and evolve the operators in order to compute the decay amplitudes for rare radiative decays in soft-collinear effective theory. We show explictly that the contributions from the annihilation channels and the W-exchange channels vanish at leading order in SCET. We present the factorized result for the decay amplitudes in rare radiative B decays at leading order in SCET, and at next-to-leading order in alpha_s.Comment: v2: 31 pages, 11 figures. An appendix is added about the quark mass effects on radiative B decay