Valuing defaultable bonds: an excursion time approach

Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical threshold. In the excursion approach the duration of default, the time period from the financial distress announcement through its resolution, is explicitly modeled. In this contribution, we provide a review of the literature on excursion time models of credit risk. Moreover, we examine the effects on credit spreads structure of different specifications of the event that triggers default.Credit risk, structural models, excursion approach, default threshold, default probability.

Simulation techniques for generalized Gaussian densities

This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a parametric family of distributions has been proposed in many applications in science to describe physical phenomena and in engineering, and it seems also useful in modeling economic and financial data. For values of the shape parameter a within a certain range, the distribution presents heavy tails. In particular, the cases a=1/3 and a=1/2 are considered. For such values of the shape parameter, different simulation methods are assessed.Generalized Gaussian density, heavy tails, transformations of rendom variables, Monte Carlo simulation, Lambert W function

An efficient binomial approach to the pricing of options on stocks with cash dividends

In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia. While exact solutions to problems of evaluating both European and American call options and European put options are available in the literature, for American-style put options early exercise may be optimal at any time prior to expiration even in the absence of dividends. In this case numerical techniques, such as lattice approaches, are required. Discrete dividends produce a shift in the tree; as a result, the tree is no longer reconnecting beyond any dividend date. Methods based on non-recombining trees give consistent results, but they are computationally expensive. We analyze binomial algorithms and performed some empirical experiments.Options on stocks, discrete dividends, binomial lattices

On the efficient application of the repeated Richardson extrapolation technique to option pricing

Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing slowly converging schemes. But the effectiveness of such a technique is fully achieved when its repeated version (RRE) is applied. Nevertheless, its application in financial literature is pretty rare. This is probably due to the necessity to pay special attention to the numerical aspects of its implementation, such as the choice of both the sequence of the stepsizes and the order of the method. In this contribution, we consider several numerical schemes for the valuation of American options and investigate the possibility of an appropriate application of RRE. As a result, we find that, in the analyzed approaches in which the convergence is monotonic, RRE can be used as an effective tool for improving significantly the accuracy.Richardson extrapolation, repeated Richardson extrapolation, American options, randomization technique, flexible binomial method

Strike point splitting induced by the application of magnetic perturbations on MAST

Divertor strike point splitting induced by resonant magnetic perturbations (RMPs) has been observed on MAST for a variety of RMP configurations in a plasma scenario with Ip=750kA where those configurations all have similar resonant components. Complementary measurements have been obtained with divertor Langmuir probes and an infrared camera. Clear splitting consistently appears in this scenario only in the even configuration of the perturbation coils, similarly to the density pump-out. These results present a challenge for models of plasma response to RMPs.Comment: 9 pages, 4 figures, submitted to the proceedings of the 20th Conference on Plasma Surface Interactions, to be published in the Journal of Nuclear Material

Observation of lobes near the X-point in resonant magnetic perturbation experiments on MAST

The application of non-axisymmetric resonant magnetic perturbations (RMPs) with a toroidal mode number n=6 in the MAST tokamak produces a significant reduction in plasma energy loss associated with type-I Edge Localized Modes (ELMs), the first such observation with n>3. During the ELM mitigated stage clear lobe structures are observed in visible-light imaging of the X-point region. These lobes or manifold structures, that were predicted previously, have been observed for the first time in a range of discharges and their appearance is correlated with the effect of RMPs on the plasma i.e. they only appear above a threshold when a density pump out is observed or when the ELM frequency is increased. They appear to be correlated with the RMPs penetrating the plasma and may be important in explaining why the ELM frequency increases. The number and location of the structures observed can be well described using vacuum modelling. Differences in radial extent and poloidal width from vacuum modelling are likely to be due to a combination of transport effects and plasma screening.Comment: 15 pages, 5 figure

Gold(III)-pyrrolidinedithiocarbamato Derivatives as Antineoplastic Agents

Transition metals offer many possibilities in developing potent chemotherapeutic agents. They are endowed with a variety of oxidation states, allowing for the selection of their coordination numbers and geometries via the choice of proper ligands, leading to the tuning of their final biological properties. We report here on the synthesis, physico-chemical characterization, and solution behavior of two gold(III) pyrrolidinedithiocarbamates (PDT), namely [AuIIIBr2(PDT)] and [AuIIICl2(PDT)]. We found that the bromide derivative was more effective than the chloride one in inducing cell death for several cancer cell lines. [AuIIIBr2(PDT)] elicited oxidative stress with effects on the permeability transition pore, a mitochondrial channel whose opening leads to cell death. More efficient antineoplastic strategies are required for the widespread burden that is cancer. In line with this, our results indicate that [AuIIIBr2(PDT)] is a promising antineoplastic agent that targets cellular components with crucial functions for the survival of tumor cells

Valuing Virtual Worlds: The Role of Categorization in Technology Assessment

Virtual worlds offer great potential for supporting the collaborative work of geographically distributed teams. However, reports indicate the existence of substantial barriers to the acceptance and use of virtual worlds in business settings. In this paper, we explore how individuals' interpretations of virtual worlds influence their judgments of the value of the technology. We conducted a qualitative analysis set in the context of a large computer and software company that was in the process of adopting virtual worlds for distributed collaboration. We identified interpretations of virtual worlds that suggest three mental categories: virtual worlds as a medium, virtual worlds as a place, and virtual worlds as an extension of reality. We associated these mental categories with different criteria for assessing the value of virtual worlds in a business setting. This study contributes particularly to the acceptance of virtual worlds but also more generally to the understanding of technology acceptance by demonstrating that the relative importance of the criteria for assessing a technology varies with potential users' interpretations and mental categorizations

2D interpolation and extrapolation of discrete magnetic measurements with toroidal harmonics for equilibrium reconstruction in a Tokamak

International audienceWe present a method based on the use of toroidal harmonics and on a modelization of the poloidal field coils and divertor coils for the 2D interpolation and extrapolation of discrete magnetic measurements in a Tokamak. The method is generic and can be used to provide Cauchy boundary conditions needed as input by a fixed domain equilibrium reconstruction code like Equinox. It can also be used to extrapolate the magnetic measurements in order to compute the plasma boundary itself. The proposed method and algorithm are detailed in the paper and results from numerous numerical experiments are presented. The method is foreseen to be used in the real time plasma control loop on the WEST Tokamak