12,810 research outputs found
Analytically Pricing Credit Default Swaps under a Regime-Switching Model
In this paper, we consider the valuation of a CDS (credit default swap) contract when the reference asset is assumed to follow a regime-switching model with the volatility allowed to jump among different states. Our motivation originates from empirical evidence demonstrating the existence of regime-switching in real markets. The default probability is analytically derived first, based on which a closed-form formula for the CDS price is obtained so that it can be easily implemented for practical purposes. Finally, numerical experiments are carried out to show quantitatively some properties of the CDS price under the regime-switching model
Self-organization and phase transition in financial markets with multiple choices
Market confidence is essential for successful investing. By incorporating
multi-market into the evolutionary minority game, we investigate the effects of
investor beliefs on the evolution of collective behaviors and asset prices.
When there exists another investment opportunity, market confidence, including
overconfidence and under-confidence, is not always good or bad for investment.
The roles of market confidence is closely related to market impact. For low
market impact, overconfidence in a particular asset makes an investor become
insensitive to losses and a delayed strategy adjustment leads to a decline in
wealth, and thereafter, one's runaway from the market. For high market impact,
under-confidence in a particular asset makes an investor over-sensitive to
losses and one's too frequent strategy adjustment leads to a large fluctuation
in asset prices, and thereafter, a decrease in the number of agents. At an
intermediate market impact, the phase transition occurs. No matter what the
market impact is, an equilibrium between different markets exists, which is
reflected in the occurrence of similar price fluctuations in different markets.
A theoretical analysis indicates that such an equilibrium results from the
coupled effects of strategy updating and shift in investment. The runaway of
the agents trading a specific asset will lead to a decline in the asset price
volatility and such a decline will be inhibited by the clustering of the
strategies. A uniform strategy distribution will lead to a large fluctuation in
asset prices and such a fluctuation will be suppressed by the decrease in the
number of agents in the market. A functional relationship between the price
fluctuations and the numbers of agents is found
A generalized public goods game with coupling of individual ability and project benefit
Facing a heavy task, any single person can only make a limited contribution
and team cooperation is needed. As one enjoys the benefit of the public goods,
the potential benefits of the project are not always maximized and may be
partly wasted. By incorporating individual ability and project benefit into the
original public goods game, we study the coupling effect of the four
parameters, the upper limit of individual contribution, the upper limit of
individual benefit, the needed project cost and the upper limit of project
benefit on the evolution of cooperation. Coevolving with the individual-level
group size preferences, an increase in the upper limit of individual benefit
promotes cooperation while an increase in the upper limit of individual
contribution inhibits cooperation. The coupling of the upper limit of
individual contribution and the needed project cost determines the critical
point of the upper limit of project benefit, where the equilibrium frequency of
cooperators reaches its highest level. Above the critical point, an increase in
the upper limit of project benefit inhibits cooperation. The evolution of
cooperation is closely related to the preferred group-size distribution. A
functional relation between the frequency of cooperators and the dominant group
size is found
Terahertz Metamaterials with Semiconductor Split-Ring Resonators for Magnetostatic Tunability
We studied a metasurface constituted as a periodic array of semiconductor
split-ring resonators. The resonance frequencies of the metasurface excited by
normally incident light were found to be continuously tunable in the terahertz
regime through an external magnetostatic field of suitable orientation. As such
metasurfaces can be assembled into 3D metamaterials, the foregoing conclusion
also applies to metamaterials comprising semiconductor split-ring resonators.Comment: 7 pages, 5 figure
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