Asset liability management using stochastic programming

This chapter sets out to explain an important financial planning model called asset liability management (ALM); in particular, it discusses why in practice, optimum planning models are used. The ability to build an integrated approach that combines liability models with that of asset allocation decisions has proved to be desirable and more efficient in that it can lead to better ALM decisions. The role of uncertainty and quantification of risk in these planning models is considered

Time-evolution and dynamical phase transitions at a critical time in a system of one dimensional bosons after a quantum quench

A renormalization group approach is used to show that a one dimensional system of bosons subject to a lattice quench exhibits a finite-time dynamical phase transition where an order parameter within a light-cone increases as a non-analytic function of time after a critical time. Such a transition is also found for a simultaneous lattice and interaction quench where the effective scaling dimension of the lattice becomes time-dependent, crucially affecting the time-evolution of the system. Explicit results are presented for the time-evolution of the boson interaction parameter and the order parameter for the dynamical transition as well as for more general quenches.Comment: final published versio

The Expected Duration of Gamma-Ray Bursts in the Impulsive Hydrodynamic Models

Depending upon the various models and assumptions, the existing literature on Gamma Ray Bursts (GRBs) mentions that the gross theoretical value of the duration of the burst in the hydrodynamical models is tau~r^2/(eta^2 c), where r is the radius at which the blastwave associated with the fireball (FB) becomes radiative and sufficiently strong. Here eta = E/Mc^2, c is the speed of light, E is initial lab frame energy of the FB, and M is the baryonic mass of the same (Rees and Meszaros 1992). However, within the same basic framework, some authors (like Katz and Piran) have given tau ~ r^2 /(eta c). We intend to remove this confusion by considering this problem at a level deeper than what has been considered so far. Our analysis shows that none of the previously quoted expressions are exactly correct and in case the FB is produced impulsively and the radiative processes responsible for the generation of the GRB are sufficiently fast, its expected duration would be tau ~ar^2/(eta^2 c), where a~O(10^1). We further discuss the probable change, if any, of this expression, in case the FB propagates in an anisotropic fashion. We also discuss some associated points in the context of the Meszaros and Rees scenario.Comment: 21 pages, LATEX (AAMS4.STY -enclosed), 1 ps. Fig. Accepted in Astrophysical Journa

Brain Drain and Institutions of Governance: Educational Attainment of Immigrants to the US 1988-1998

We investigate the impact of home country institutions on the skill level of immigrants to the United States over 1988-1998. Specifically, we explore the hypothesis that institutions are multidimensional and that the different dimensions have conflicting impacts on the migration of skilled labor. Using an exploratory factor analysis on fifteen institutional variables, we identify the following dimensions of institutional character: credibility; transparency; democracy; and the security of civil society. We find that credibility and transparency increase the magnitude of brain drain; security reduces it; and democracy has no significant impact.immigration, institutions, political instability, brain drain

Civil War, Ethnicity, and the Migration of Skilled Labor

We investigate the impact of civil war on high skilled emigration rates to the OECD over the period 1985-2000. Controlling for economic and institutional characteristics of source countries, we find that civil war increases high skilled emigration by about 5 percent on the average. However, the nature of conflict matters: While brain drain from countries with ethnic conflict is about 6-8 percent greater on average than it is from countries without conflict, brain drain from countries with nonethnic conflict is less, and statistically insignificant. Duration also matters: Each additional year of ethnic conflict worsens the brain drain by between 0.4 and 1 percent, whereas the effect of an additional year of nonethnic conflict is small and insignificant.

Brain Drain and Institutions of Governance: Educational Attainment of Immigrants to the US 1988-2000

We use a fixed effects panel data model to investigate the impact of institutions of governance on the educational attainment of immigrants to the United States over the period 1988 – 2000. Distinguishing between the quality and stability of political institutions in the countries of origin, we find that the two characteristics of institutional structure have conflicting impacts on the nature of brain drain. Immigrants from countries with a higher quality of political institutions tend to be better educated, on the average, than immigrants from countries with institutions of lower quality. However, immigrants from countries with greater political instability tend to be better educated than immigrants from countries with more stable governments.Immigration, institutions, political instability, brain drain

Reionization constraints using Principal Component Analysis

Using a semi-analytical model developed by Choudhury & Ferrara (2005) we study the observational constraints on reionization via a principal component analysis (PCA). Assuming that reionization at z>6 is primarily driven by stellar sources, we decompose the unknown function N_{ion}(z), representing the number of photons in the IGM per baryon in collapsed objects, into its principal components and constrain the latter using the photoionization rate obtained from Ly-alpha forest Gunn-Peterson optical depth, the WMAP7 electron scattering optical depth and the redshift distribution of Lyman-limit systems at z \sim 3.5. The main findings of our analysis are: (i) It is sufficient to model N_{ion}(z) over the redshift range 2<z<14 using 5 parameters to extract the maximum information contained within the data. (ii) All quantities related to reionization can be severely constrained for z<6 because of a large number of data points whereas constraints at z>6 are relatively loose. (iii) The weak constraints on N_{ion}(z) at z>6 do not allow to disentangle different feedback models with present data. There is a clear indication that N_{ion}(z) must increase at z>6, thus ruling out reionization by a single stellar population with non-evolving IMF, and/or star-forming efficiency, and/or photon escape fraction. The data allows for non-monotonic N_{ion}(z) which may contain sharp features around z \sim 7. (iv) The PCA implies that reionization must be 99% completed between 5.8<z<10.3 (95% confidence level) and is expected to be 50% complete at z \approx 9.5-12. With future data sets, like those obtained by Planck, the z>6 constraints will be significantly improved.Comment: Accepted in MNRAS. Revised to match the accepted versio

A Dynamical Principle For 3D-4D Interlinkage In Salpeter-like Equations

The half-century old Markov-Yukawa Transversality Principle ($MYTP$) which provides a theoretical rationale for the covariant instantaneous approximation ($CIA$) that underlies all Salpeter-like equations, is generalized to a covariant null-plane ansatz ($CNPA$). A common characteristic of both formulations is an exact 3D-4D interlinkage of BS amplitudes which facilitates a two-tier description: the 3D form for spectroscopy, and the 4D form for transition amplitudes as 4D loop integrals. Some basic applications of $MYTP$ on the covariant null plane (quark mass function, vacuum condensates, and decay constants) are given on the lines of earlier applications to these processes under $CIA$. PACS: 03.65.-w ; 03.65.Co ; 11.10.Qr ; 11.10.St Keywords: Markov-Yukawa Transversality Principle ($MYTP$); Salpeter-like eqs; Cov Instantaneity Ansatz ($CIA$); Cov Null-Plane Ansatz ($CNPA$); 3D-4D interlinkage; Vertex function; 4D loopsComment: LaTeX file, 25 pages, to be published in Nuclear Phys.