Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects

This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the model, providing an analytical expression for the process distribution. We also prove that certain specifications of this model can provide negative serial persistence. Additionally, we find that the degree of serial autocorrelation is related to the arrival and magnitude of abnormal information. Finally, a GMM framework is proposed to estimate the model parameters

Pricing tranched credit products with generalized multifactor models

The market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growing segments in the credit derivatives industry. However, some assumptions underlying the standard Gaussian onefactor pricing model (homogeneity, single factor, Normality), which is the pricing standard widely used in the industry, are probably too restrictive. In this paper we generalize the standard model by means of a two by two model (two factors and two asset classes). We assume two driving factors (business cycle and industry) with independent tStudent distributions, respectively, and we allow the model to distinguish among portfolio assets classes. In order to illustrate the estimation of the parameters of the model, an empirical application with Moody's data is also included

Dual-fermion approach to the Anderson-Hubbard model

We apply the recently developed dual fermion algorithm for disordered interacting systems to the Anderson-Hubbard model. This algorithm is compared with dynamical cluster approximation calculations for a one-dimensional system to establish the quality of the approximation in comparison with an established cluster method. We continue with a three-dimensional (3d) system and look at the antiferromagnetic, Mott and Anderson localization transitions. The dual fermion approach leads to quantitative as well as qualitative improvement of the dynamical mean-field results and it allows one to calculate the hysteresis in the double occupancy in 3d taking into account nonlocal correlations

Cu-catalyzed Si-NWS grown on “carbon paper” as anodes for Li-ion cells

The very high theoretical capacity of the silicon (4200mAh/g more than 10 times larger than graphite), environmental-friendly, abundant and low-cost, makes it a potential candidate to replace graphite in high energy density Li-ion batteries. As a drawback, silicon suffers from huge volume changes (300%) on alloying and dealloying with Li, leading a structural deformation that induces disruption. The use of nanostructured silicon materials has been shown to be an effective way to avoid this mechanical degradation of the active material. In this paper the synthesis of silicon nanowires, grown on a highly porous 3D-like carbon paper substrate by CVD using Cu as the catalyst, is presented. The use of carbon paper allows to achieve remarkable loadings of active material (2-5 mg/cm2) and, consequently, high capacity densities. The silicon electrode was investigated both morphologically and electrochemically. To improve the electrochemical performance various strategies have been carried out. It was observed that a very slow first cycle (C/40), which helps the formation of a stable solid electrolyte interphase on the silicon surface, improves the performance of the cells; nevertheless, their cycle life has been found not fully satisfactory. Morphological analysis of the Si-NWs electrodes before and after cycling showed the presence of a dense silicon layer below the nanowires which could reduce the electrical contact between the active material and the substrate

Phase Space Reduction for Star-Products: An Explicit Construction for CP^n

We derive a closed formula for a star-product on complex projective space and on the domain $SU(n+1)/S(U(1)\times U(n))$ using a completely elementary construction: Starting from the standard star-product of Wick type on $C^{n+1} \setminus \{ 0 \}$ and performing a quantum analogue of Marsden-Weinstein reduction, we can give an easy algebraic description of this star-product. Moreover, going over to a modified star-product on $C^{n+1} \setminus \{ 0 \}$, obtained by an equivalence transformation, this description can be even further simplified, allowing the explicit computation of a closed formula for the star-product on \CP^n which can easily transferred to the domain $SU(n+1)/S(U(1)\times U(n))$.Comment: LaTeX, 17 page