The Market Value and Dynamic Interest Rate Risk of Swaps

At the time of initiation, interest rate swaps are of zero market value to the counterparties involved. However, as time passes, the market value of the swap position of each counterpart may become positive or negative. These value changes are stochastic in nature and are primarily driven by stochastic variations of the term structure of interest rates. In this paper, we develop models for determining the market values and dynamic interest rate risks of existing swap positions using the one-factor general equilibrium term structure model of Cox, Ingersoll, and Ross (1985). The valuation and risk measurement framework of this paper should be useful in developing a value turn risk accounting method advocated by Merton and Bodie (1995) for better internal management and reporting purposes and for more effective regulation. This paper was presented at the Financial Institutions Center's October 1996 conference on "

Radial jets

This thesis is in two parts. In the first chapter we consider the problem of the laminar mixing of two different gases in a wall jet. Solutions of the boundary layer equations governing the radial laminar flow of a mixture of two different gases forming a wall jet are obtained. Attention is centered on that part of the flow where the concentration of one gas in the mixture is small. Further, to investigate what effect the diffusion of one gas into the other has on the velocity profile, the dominant perturbation term In the stream function is obtained by expanding the latter in terms of a parameter whose magnitude depends upon the concentration of the gas from the reservoir In the mixture. The second problem, discussed in Chapter two, is that of heat transfer in a radial liquid jet. The technique used to study this problem is similar to that employed by Watson in his investigations into the velocity distribution in a radial liquid jet. Two specific examples; are treated in detail and the results obtained, for the temperature distribution In the jet and heat transfer across the wall, are presented graphically

Robust Ferroelectric State in Multiferroic Mn1−x_{1-x}Znx_xWO4_4

We report the remarkably robust ferroelectric state in the multiferroic compound Mn$_{1-x}$Zn$_x$WO$_4$. The substitution of the magnetic Mn$^{2+}$ with nonmagnetic Zn$^{2+}$ reduces the magnetic exchange and provides control of the various magnetic and multiferroic states of MnWO$_4$. Only 5 % of Zn substitution results in a complete suppression of the frustrated collinear (paraelectric) low temperature phase. The helical magnetic and ferroelectric phase develops as the ground state. The multiferroic state is stable up to a high level of substitution of more than 50 %. The magnetic, thermodynamic, and dielectric properties as well as the ferroelectric polarization of single crystals of Mn$_{1-x}$Zn$_x$WO$_4$ are studied for different substitutions up to x=0.5. The magnetic phases have been identified in single crystal neutron scattering experiments. The ferroelectric polarization scales with the neutron intensity of the incommensurate peak of the helical phase.Comment: 6 pages, 8 figure

INFORMATION SYSTEMS OUTSOURCING: A MIXED INTEGER PROGRAMMING ANALYSIS

In the recent past, the trend toward outsourcing has become a major information systems phenomenon. Outsourcing is the subcontracting of various information systems subfunctions such as managing of data centers, operations, hardware support software maintenance, and even application software by user-firms to either incumbent vendors or outside vendors. Outsourcing is therefore emerging as a key approach for managing infonnation systems functions. In this research, we investigate the outsourcing bidding process pertinent to the selection of one subcontractor by a userfirm. We analyze bidding situations where the bidders have different levels of expertise and cost structures. The theoretical foundations for this research lie iii the theory of mechanism design (Myerson 1983), as well as the theory of imperfect information (Philips 1988) and incentive design (Ledyard 1989; McAfee 1986). We build a mixed integer programming model to represent what happens in an outsourcing bidding context involving a user-firm, an incumbent firm, and a challenger firm and explore the implications. The analysis is conducted over two different time horizons called the ex ante and the ex post periods. Two mixed-integer programming models are presented for two time horizons (in developing the model, we follow Kreps 1990). To reflect the different levels of expertise and cost structures of bidders, a discrete probability distribution is assigned to each bidder to approximate a bidder\u27 s true cost. A bidder\u27s true cost is private information, but its probability distribution is assumed to be common knowledge. An incumbent firm is assumed to have cost advantages over other bidders as a result of being familiar with the information needs of the user-firm. Therefore, the incumbent firm is assigned a cost probability distribution that is skewed toward low cost. The competing bidder\u27s cost structure is skewed toward high cost. The objective function of each model is formulated so as to minimize the expected cost subject to participation, and truthtelling constraints. Participation constraints indicate that each bidder participates only if a positive profit is given by the user-firm. Truth-telling constmints denote that each bidder prefers telling the truth to misrepresentation. The preliminary results of the models suggest that a policy of awarding incentives and levying penalties needs to be followed by the user firm. The results show that in order to induce the bidders to behave truthfully, some penalties would have to be levied and incentives would have to be provided. For example, if both the incumbent bidder and the challenger bid the same. the challenger is awarded the bid. If the incumbent firm is found to be inflating quotes, a penalty would have to be levied against the incumbent in the sense that the contract would be awarded to the challenger. Finally, in order to reward the bidder who quotes the true costs, subsides would have to be awarded. Thus, the models provide theoretical justification and guidelines for bidding behavior practices in the real world. Interestingly, both the ex-ante and ex-post models based on Krep\u27s assumptions show identical results. Implications of this finding need to be further explored in future research

Modeling IS Activities for Business Process Reengineering : A Colored Petri Net Approach

The day to day functioning of any organization involves many business processes. Each business process is comprised of different activities. The identification of activities and their cost drivers is a critical factor for successful Business Process Reengineering. Since the resources used by the activities form an integral part of the model, the identification of the cost drivers is also simplified. This paper details the following : 1. It proposesthe use of colored Petri nets for process modeling. Brimson(1991) identifies the process modeling approach to activity analysis as useful since it graphically links the inputs and outputs among activities and identifies the information flow in the processes. However, use of process flow charts, which is most commonly used in activity analysis cannot capture some of the aspects of office processes, like supervision, general management, etc. In addition, representing the complex business logic associated with activities would be difficult in such flow models. The use of colored Petri nets overcomes this limitation, as business logic and various office processes can be easily represented. In addition, the complexity of the system is handled by resorting to hierarchical representation of the processes. 2. The paper applies the concept of activity based costing to the management of the IS processes in firms. The cost structure of these processes, to our knowledge, has not been studied from the activity based costing perspective. The article proposes the use of activity based costing for IS processes. Such analysis could help the organization in making operational as well as strategic decisions as related to its IS processe

Quantum Control of the Hyperfine Spin of a Cs Atom Ensemble

We demonstrate quantum control of a large spin-angular momentum associated with the F=3 hyperfine ground state of 133Cs. A combination of time dependent magnetic fields and a static tensor light shift is used to implement near-optimal controls and map a fiducial state to a broad range of target states, with yields in the range 0.8-0.9. Squeezed states are produced also by an adiabatic scheme that is more robust against errors. Universal control facilitates the encoding and manipulation of qubits and qudits in atomic ground states, and may lead to improvement of some precision measurements.Comment: 4 pages, 4 figures (color

Theoretical analysis of neutron scattering results for quasi-two dimensional ferromagnets

A theoretical study has been carried out to analyse the available results from the inelastic neutron scattering experiment performed on a quasi-two dimensional spin-1/2 ferromagnetic material $K_2CuF_4$. Our formalism is based on a conventional semi-classical like treatment involving a model of an ideal gas of vortices/anti-vortices corresponding to an anisotropic XY Heisenberg ferromagnet on a square lattice. The results for dynamical structure functions for our model corresponding to spin-1/2, show occurrence of negative values in a large range of energy transfer even encompassing the experimental range, when convoluted with a realistic spectral window function. This result indicates failure of the conventional theoretical framework to be applicable to the experimental situation corresponding to low spin systems. A full quantum formalism seems essential for treating such systems.Comment: 16 pages, 6 figures, 1 Table Submitted for publicatio