Realizations of interest rate models

In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our starting point is not the Musiela equation but the forward rate dynamics. In our approach we do not need to talk about infinitesimal generators.

Modelling of tradeable securities with dividends

We propose a generalized framework for the modeling of tradeable securities with dividends which are not necessarily cash dividends at fixed times or continuously paid dividends. In our setup the dividend processes are only required to be semi-martingales. We give a definition of self-financing replication which incorporates dividend processes, and we show how this allows us to translate standard results for the pricing and hedging of derivatives on assets without dividends to the case of assets with dividends. We then apply this framework to analyze and compare the different assumptions that have been made in earlier dividend models. We also study the case where we have uncertain dividend dates, and we look at securities which are not equity-based such as futures and credit default swaps, since our weaker assumptions on the dividend process allow us to consider these other applications as well

Realizations of interest rate models

In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our starting point is not the Musiela equation but the forward rate dynamics. In our approach we do not need to talk about infinitesimal generators

Cash dividends and futures prices on discontinuous filtrations

We derive a general formula for the futures price process without the restriction that the assets used in the future margin account are continuous and of finite variation. To do so, we model tradeable securities with dividends which are not necessarily cash dividends at fixed times or continuously paid dividends. A future contract can then be modelled as an asset which pays dividends but has zero value in itself. We show that the futures price is not necssarily a martingale under the equivalent martingale measure, but that it remains a martingale under a new measure which is closely connected to multiplicative Doob-Meyer decompositions. Our definition of self-financing replication is different from some earlier ones, even for assets that do not pay dividends, and we argue that for discontinuous asset price processes it could be more natural than the usual formulation

Exact spinor-scalar bound states in a QFT with scalar interactions

We study two-particle systems in a model quantum field theory, in which scalar particles and spinor particles interact via a mediating scalar field. The Lagrangian of the model is reformulated by using covariant Green's functions to solve for the mediating field in terms of the particle fields. This results in a Hamiltonian in which the mediating-field propagator appears directly in the interaction term. It is shown that exact two-particle eigenstates of the Hamiltonian can be determined. The resulting relativistic fermion-boson equation is shown to have Dirac and Klein-Gordon one-particle limits. Analytic solutions for the bound state energy spectrum are obtained for the case of massless mediating fields.Comment: 12 pages, RevTeX, 1 figur

Solitosynthesis of Q-balls

We study the formation of Q-balls in the early universe, concentrating on potentials with a cubic or quartic attractive interaction. Large Q-balls can form via solitosynthesis, a process of gradual charge accretion, provided some primordial charge assymetry and initial ``seed'' Q-balls exist. We find that such seeds are possible in theories in which the attractive interaction is of the form $A H \psi^* \psi$, with a light ``Higgs'' mass. Condensate formation and fragmentation is only possible for masses $m_\psi$ in the sub-eV range; these Q-balls may survive untill present.Comment: 9 pages, 1 figur

Control Measures Used during Lymphogranuloma Venereum Outbreak, Europe

The degree of preparedness may affect the ability to respond quickly and to control an outbreak