Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression

Developing a good prepayment model is a central task in the valuation of mortgages and mortgage-backed securities but conventional parametric models often have bad out-of-sample predictive ability. A likely explanation is the highly non-linear nature of the prepayment function. Non-parametric techniques are much better at detecting non-linearity and multivariate interaction. This article discusses how non-parametric kernel regression may be applied to loan level event histories to produce a better parametric model. By utilizing a parsimonious specification, a model can be produced that practitioners can use in valuation routines based on Monte Carlo interest rate simulation.

The chiral quark condensate and pion decay constant in nuclear matter at next-to-leading order

Making use of the recently developed chiral power counting for the physics of nuclear matter [1,2], we evaluate the in-medium chiral quark condensate up to next-to-leading order for both symmetric nuclear matter and neutron matter. Our calculation includes the full in-medium iteration of the leading order local and one-pion exchange nucleon-nucleon interactions. Interestingly, we find a cancellation between the contributions stemming from the quark mass dependence of the nucleon mass appearing in the in-medium nucleon-nucleon interactions. Only the contributions originating from the explicit quark mass dependence of the pion mass survive. This cancellation is the reason of previous observations concerning the dominant role of the long-range pion contributions and the suppression of short-range nucleon-nucleon interactions. We find that the linear density contribution to the in-medium chiral quark condensate is only slightly modified for pure neutron matter by the nucleon-nucleon interactions. For symmetric nuclear matter the in-medium corrections are larger, although smaller compared to other approaches due to the full iteration of the lowest order nucleon-nucleon tree-level amplitudes. Our calculation satisfies the Hellmann-Feynman theorem to the order worked out. Also we address the problem of calculating the leading in-medium corrections to the pion decay constant. We find that there are no extra in-medium corrections that violate the Gell-Mann-Oakes-Renner relation up to next-to-leading order.Comment: 21 pages, 9 figure

Sparse aperture masking at the VLT II. Detection limits for the eight debris disks stars β\beta Pic, AU Mic, 49 Cet, η\eta Tel, Fomalhaut, g Lup, HD181327 and HR8799

Context. The formation of planetary systems is a common, yet complex mechanism. Numerous stars have been identified to possess a debris disk, a proto-planetary disk or a planetary system. The understanding of such formation process requires the study of debris disks. These targets are substantial and particularly suitable for optical and infrared observations. Sparse Aperture masking (SAM) is a high angular resolution technique strongly contributing to probe the region from 30 to 200 mas around the stars. This area is usually unreachable with classical imaging, and the technique also remains highly competitive compared to vortex coronagraphy. Aims. We aim to study debris disks with aperture masking to probe the close environment of the stars. Our goal is either to find low mass companions, or to set detection limits. Methods. We observed eight stars presenting debris disks ( $\beta$ Pictoris, AU Microscopii, 49 Ceti, $\eta$ Telescopii, Fomalhaut, g Lupi, HD181327 and HR8799) with SAM technique on the NaCo instrument at the VLT. Results. No close companions were detected using closure phase information under 0.5 of separation from the parent stars. We obtained magnitude detection limits that we converted to Jupiter masses detection limits using theoretical isochrones from evolutionary models. Conclusions. We derived upper mass limits on the presence of companions in the area of few times the diffraction limit of the telescope around each target star.Comment: 7 pages, All magnitude detection limits maps are only available in electronic form at the CDS via anonymous ftp to cdsarc.u-strasbg.fr (130.79.128.5

CubeSats as pathfinders for planetary detection: the FIRST-S satellite

The idea behind FIRST (Fibered Imager foR a Single Telescope) is to use single-mode fibers to combine multiple apertures in a pupil plane as such as to synthesize a bigger aperture. The advantages with respect to a pure imager are i) relaxed tolerance on the pointing and cophasing, ii) higher accuracy in phase measurement, and iii) availability of compact, precise, and active single-mode optics like Lithium Niobate. The latter point being a huge asset in the context of a space mission. One of the problems of DARWIN or SIM-like projects was the difficulty to find low cost pathfinders missions. But the fact that Lithium Niobate optic is small and compact makes it easy to test through small nanosats missions. Moreover, they are commonly used in the telecom industry, and have already been tested on communication satellites. The idea of the FIRST-S demonstrator is to spatialize a 3U CubeSat with a Lithium Niobate nulling interferometer. The technical challenges of the project are: star tracking, beam combination, and nulling capabilities. The optical baseline of the interferometer would be 30 cm, giving a 2.2 AU spatial resolution at distance of 10 pc. The scientific objective of this mission would be to study the visible emission of exozodiacal light in the habitable zone around the closest stars.Comment: SPIE 2014 -- Astronomical telescopes and instrumentation -- Montrea

Discovery of Seven Companions To Intermediate-Mass Stars With Extreme Mass Ratios in the Scorpius-Centaurus Association

We report the detection of seven low-mass companions to intermediate-mass stars (SpT B/A/F; M similar to 1.5-4.5M(circle dot)) in the Scorpius-Centaurus (Sco-Cen) Association using nonredundant aperture masking interferometry. Our newly detected objects have contrasts Delta L' approximate to 4-6, corresponding to masses as low as similar to 20 M-Jup and mass ratios of q approximate to 0.01-0.08, depending on the assumed age of the target stars. With projected separations rho approximate to 10-30 AU, our aperture masking detections sample an orbital region previously unprobed by conventional adaptive optics imaging of intermediate-mass Sco-Cen stars covering much larger orbital radii (similar to 30-3000 AU). At such orbital separations, these objects resemble higher-mass versions of the directly imaged planetary mass companions to the 10-30 Myr, intermediate-mass stars HR 8799, beta Pictoris, and HD 95086. These newly discovered companions span the brown dwarf desert, and their masses and orbital radii provide a new constraint on models of the Formation of low-mass stellar and substellar companions to intermediate-mass stars.NASA through the Sagan Fellowship ProgramNSF Astronomy and Astrophysics Postdoctoral Fellowship AST-1203023Clay FellowshipNASA through Hubble Fellowship 51257.01AURA, Inc., for NASA NAS 5-26555W. M. Keck FoundationAstronom