Order statistics for Value-at-Risk estimation and option pricing

Herzberg F, Bennemann C. Order statistics for Value-at-Risk estimation and option pricing. Wilmott Magazine. 2006;2006(26):46-50

You can't always get what you want – estimating the Value-at-Risk from historical data with limited statistics

Naundorf B, Raufeisen J, Bennemann C, Herzberg F. You can't always get what you want – estimating the Value-at-Risk from historical data with limited statistics. Wilmott Magazine. 2006;2006(26):52-55

Molecular Dynamics Simulations of the Thermal Glass Transition in Polymer Melts: alpha-Relaxation Behaviour

We present Molecular Dynamics simulations of the thermal glass transition in a dense model polymer liquid. We performed a comparative study of both constant volume and constant pressure cooling of the polymer melt. Great emphasis was laid on a careful equilibration of the dense polymer melt at all studied temperatures. Our model introduces competing length scales in the interaction to prevent any crystallisation tendency. In this first manuscript we analyse the structural properties as a function of temperature and the long time or ff-relaxation behaviour as observed in the dynamic structure factor and the self-diffusion of the polymer chains. The ff-relaxation can be consistently analysed in terms of the mode coupling theory (MCT) of the glass transition. The mode coupling critical temperature, T c , and the exponent, fl, defining the power law divergence of the ff-relaxation timescale both depend on the thermodynamic ensemble employed in the simulation. 1 Introduction Understanding..

MBE Growth and Optical Properties of Isotopically Purified ZnSe Heterostructures

Wide-gap II/VI heterostructures (HS) and quantum wells (QW) composed of ZnSe, CdSe, MgSe, and their ternary and quaternary compounds are attractive candidates for modern quantum optical devices such as single photon sources and optically controlled spin qubits in the visible spectral range. In contrast to similar III/V semiconductor based devices, generally, most of the II/VI compounds allow for isotope purification toward zero-nuclear-spin species in the semiconductor environment. Using the same molecular beam epitaxy (MBE) system for natural and isotopically purified materials opposes the challenge of achieving superior isotope purity, for example, of Zn and Se species on the background of operation of the other effusion cells filled with natural isotopes. Here we report on the crystallographic and optical properties of ZnMgSe/ZnSe heterostructures and quantum wells grown by using 64Zn and 80Se isotopes and Mg with natural isotope distribution. We present a detailed quantitative secondary ion mass spectrometry (SIMS) analysis, which confirms that an extremely high grade of isotope purification of the ZnSe can be maintained, although natural and enriched Zn and Se elements are used in the same MBE system. This pioneering growth study forms a solid base to generate a spin vacuum ZnSe host crystal that is particularly suited for future studies on the dynamics of localized spins in II/VI heterostructures on a strongly extended coherence time scale