The Chirality operators for Heisenberg Spin Systems

The ground state of closed Heisenberg spin chains with an odd number of sites has a chiral degeneracy, in addition to a two-fold Kramers degeneracy. A non-zero chirality implies that the spins are not coplanar, and is a measure of handedness. The chirality operator, which can be treated as a spin-1/2 operator, is explicitly constructed in terms of the spin operators, and is given as commutator of Permutation operators.Comment: 7 pages, report IC/94/23. E-mail: [email protected]

Incremental Risk Vulnerability

We present a necessary and sufficient condition on an agent’s utility function for a simple mean preserving spread in an independent background risk to increase the agent’s risk aversion (incremental risk vulnerability). Gollier and Pratt (1996) have shown that declining and convex risk aversion as well as standard risk aversion are sufficient for risk vulnerability. We show that these conditions are also sufficient for incremental risk vulnerability. In addition, we present sufficient conditions for a restricted set of stochastic increases in an independent background risk to increase risk aversion.

“Does the tail wag the dog? The effect of credit default swaps on credit risk”

Credit default swaps (CDS) are derivative contracts that are widely used as tools for credit risk management. However, in recent years, concerns have been raised about whether CDS trading itself affects the credit risk of the reference entities. We use a unique, comprehensive sample covering CDS trading of 901 North American corporate issuers, between June 1997 and April 2009, to address this question. We find that the probability of both a credit rating downgrade and bankruptcy increase, with large economic magnitudes, after the inception of CDS trading. This finding is robust to controlling for the endogeneity of CDS trading. Beyond the CDS introduction effect, we show that firms with relatively larger amounts of CDS contracts outstanding, and those with relatively more “no restructuring” contracts than other types of CDS contracts covering restructuring, are more adversely affected by CDS trading. Moreover, the number of creditors increases after CDS trading begins, exacerbating creditor coordination failure for the resolution of financial distress

An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models In the Dollar Cap-Floor Markets

This paper examines the static and dynamic accuracy of interest rate option pricing models in the U.S. dollar interest rate cap and floor markets. We evaluate alternative one-factor and two-factor term structure models of the spot and the forward interest rates on the basis of their out-of-sample predictive ability in terms of pricing and hedging performance. The one-factor models analyzed consist of two spot-rate specifications (Hull and White (1990) and Black-Karasinski (1991), five forward rate specifications (within the general Heath, Jarrow and Morton (1990b) class), and one LIBOR market model (Brace, Gatarek and Musiela (1997) [BGM]). For two-factor models, two alternative forward rate specifications are implemented within the HJM framework. We conduct tests on daily data from March-December 1998, consisting of actual cap and floor prices across both strike rates and maturities. Results show that fitting the skew of the underlying interest rate distribution provides accurate pricing results within a one-factor framework. However, for hedging performance, introducing a second stochastic factor is more important than fitting the skew of the underlying distribution. Overall, the one-factor lognormal model for short term interest rates outperforms other competing models in pricing tests, while two-factor models perform significantly better than one-factor models in hedging tests. Modeling the second factor allows a better representation of the dynamic evolution of the term structure by incorporating expected twists in the yield curve. Thus, the interest rate dynamics embedded in two-factor models appears to be closer to the one driving the actual economic environment, leading to more accurate hedges. This constitutes evidence against claims in the literature that correctly specified and calibrated one-factor models could replace multi-factor models for consistent pricing and hedging of interest rate contingent claims

Macroinvertebrate Infauna of a Salt Marsh Tidal Creek

Tidal creeks are the main avenues for exchange of materials between salt marshes and river mouth estuaries. The spatial and temporal distributions of benthic macroinvertebrate infauna of a tidal creek near St. Marks Lighthouse in northern Florida were investigated. One hundred and eleven species were found during the course of study. The numbers of species and individuals declined from the creek mouth to its origin. The results were compared to published macrobenthic invertebrate data from a nearby estuary and nearby salt marshes to determine the faunal relationships of these areas to the creek. More estuarine species than marsh species were found at the creek mouth but at the creek headwaters fewer estuarine than marsh species were found. However, numerous creek species had not been recorded from local salt marsh or estuarine locations. The evidence indicates this tidal creek to be an ecotone between the salt marsh and the adjoining estuarine habitat

The Term Structure of Interest-Rate Future Prices

We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model derive from the solution of a two-dimensional autoregressive process for the short-term rate, which exhibits both mean reversion and a lagged persistence parameter. We show that the correlation of the futures rates is restricted by the no-arbitrage conditions of the model. In addition, we investigate the determinants of the volatility of the futures rates of various maturities. These are shown to be related to the volatilities of the short rate, the volatility of the second factor, the degree of mean reversion and the persistence of the second factor shock. We obtain specific results for futures rates in the case where the logarithm of the short-term rate [e.g., the London Inter-Bank Offer Rate (Libor)] follows a two-dimensional process. Our results lead to empirical hypotheses that are testable using data from the liquid market for Eurocurrency interest rate futures contracts

GROUP AFFILIATION AND THE PERFORMANCE OF INITIAL PUBLIC OFFERINGS IN THE INDIAN STOCK MARKET

We document the effects of group affiliation on the initial performance of 2,713 Initial Public Offerings (IPOs) in India under three regulatory regimes during the period 1990-2004. We distinguish between two competing hypotheses regarding group affiliation: the “certification” and the “tunneling” hypotheses. We lend support to the latter by showing that the underpricing of group companies is higher than that of stand-alone companies. We ascribe the higher initial returns of group IPOs to investor overreaction. Ex post, we find that group-affiliated companies have a higher probability of survival over the long term: groups support their affiliates to maintain their reputation

Nonlinear bending-torsional vibration and stability of rotating, pretwisted, preconed blades including Coriolis effects

The coupled bending-bending-torsional equations of dynamic motion of rotating, linearly pretwisted blades are derived including large precone, second degree geometric nonlinearities and Coriolis effects. The equations are solved by the Galerkin method and a linear perturbation technique. Accuracy of the present method is verified by comparisons of predicted frequencies and steady state deflections with those from MSC/NASTRAN and from experiments. Parametric results are generated to establish where inclusion of only the second degree geometric nonlinearities is adequate. The nonlinear terms causing torsional divergence in thin blades are identified. The effects of Coriolis terms and several other structurally nonlinear terms are studied, and their relative importance is examined

Knowledge and attitude towards family planning practices among non-acceptors in a rural area in Bangalore, India

Background: India became the first country in the country to launch a National family planning programme in 1952. Population explosion is still a prime problem in the country. The rate of contraceptive use is 40.4% in 2011 which is far below the National goal of Couple protection rate of 60% by 2000 A.D. The present study was carried out in a rural area, Bangalore, India. The objective of the study was to assess the knowledge and attitude towards family planning practices among non-acceptors  and to find out the factors associated with non-acceptance of family planning among married women in the rural field practice area of Vydehi Institute of Medical Sciences and Research Centre, Bangalore, India.Methods: A cross sectional study was carried out in the rural field practice area. Out of 33 villages in the rural health centre area, a total of 6 villages were selected and using cluster sampling method 235 eligible couples who were not using contraceptives were included in the study. A semi- structured questionnaire was used to collect the data during house to house visits from August to October 2012.Results: Among the 235 eligible couples, 218(92.7%) had knowledge about contraception and it was significantly associated with the level of literacy (p<0.01). Reasons for non-acceptance of family planning were male child preference (26.8%), fear of side effects (14%), fear of surgery and female child preference (10.6%), opposition of partner (7.2%).Conclusions: Most common reason for non-acceptance of family planning was male child preference (26.8%). There is a need for behaviour change communication for eligible couples regarding family planning adoption among the non-acceptors highlighting the importance of small family, happy family.