Interest rate risk immunization - the impact of credit risk in the quality of immunization case study: immunization with Portuguese bonds and German bonds

This paper involves an assessment of the interest rate risk present in Financial Institutions and the methods used for its immunization. The paper consists on two parts. The first part presents a theoretical review of the interest rate risk and how this risk can be immunized. Concepts such as Macaulay (1938) and Fisher & Weil (1971) duration and their limitations in the process of the approximation to the price of a considered bond will be highlighted. In the second part the main indicators of the credit risk on bonds are analyzed. Based on market prices of Portugal’s bonds and Germany’s bonds, the quality of immunization is tested. The interest rate derivatives are then introduced as a method of hedging interest rate risk. At the end, an interview is conducted with the responsible for hedging the interest rate risk in one of the largest private banks in Portugal in order to identify the methods used to capture the interest rate risk and to understand how this risk is immunized. This paper allows us to conclude about the importance of credit risk in an immunization strategy of interest rate risk. We conclude that interest rate hedging based on Fisher & Weil (1971) duration is not possible in a scenario of high volatility of credit risk. Interest rate hedge based on interest rate swap becomes more attractive to the Financial Institutions

Time-dependent Robin boundary conditions in the dynamical Casimir effect

Motivated by experiments in which moving boundaries are simulated by time-dependent properties of static systems, we discuss the model of a massless scalar field submitted to a time-dependent Robin boundary condition (BC) at a static mirror in 1+1 dimensions. Using a perturbative approach, we compute the spectral distribution of the created particles and the total particle creation rate, considering a thermal state as the initial field state.Comment: 10 pages, 3 figures. To appear in proceedings of Conference on Quantum Field Theory under the Influence of External Condition

Predicting the extinction of Ebola spreading in Liberia due to mitigation strategies

The Ebola virus is spreading throughout West Africa and is causing thousands of deaths. In order to quantify the effectiveness of different strategies for controlling the spread, we develop a mathematical model in which the propagation of the Ebola virus through Liberia is caused by travel between counties. For the initial months in which the Ebola virus spreads, we find that the arrival times of the disease into the counties predicted by our model are compatible with World Health Organization data, but we also find that reducing mobility is insufficient to contain the epidemic because it delays the arrival of Ebola virus in each county by only a few weeks. We study the effect of a strategy in which safe burials are increased and effective hospitalisation instituted under two scenarios: (i) one implemented in mid-July 2014 and (ii) one in mid-August—which was the actual time that strong interventions began in Liberia. We find that if scenario (i) had been pursued the lifetime of the epidemic would have been three months shorter and the total number of infected individuals 80% less than in scenario (ii). Our projection under scenario (ii) is that the spreading will stop by mid-spring 2015.H.E.S. thanks the NSF (grants CMMI 1125290 and CHE-1213217) and the Keck Foundation for financial support. L.D.V. and L.A.B. wish to thank to UNMdP and FONCyT (Pict 0429/2013) for financial support. (CMMI 1125290 - NSF; CHE-1213217 - NSF; Keck Foundation; UNMdP; Pict 0429/2013 - FONCyT)Published versio

Some boundary effects in quantum field theory

We have constructed a quantum field theory in a finite box, with periodic boundary conditions, using the hypothesis that particles living in a finite box are created and/or annihilated by the creation and/or annihilation operators, respectively, of a quantum harmonic oscillator on a circle. An expression for the effective coupling constant is obtained showing explicitly its dependence on the dimension of the box.Comment: 12 pages, Late

Effect of phonon scattering by surface roughness on the universal thermal conductance

The effect of phonon scattering by surface roughness on the thermal conductance in mesoscopic systems at low temperatures is calculated using full elasticity theory. The low frequency behavior of the scattering shows novel power law dependences arising from the unusual properties of the elastic modes. This leads to new predictions for the low temperature depression of the thermal conductance below the ideal universal value. Comparison with the data of Schwab et al. [Nature 404, 974 (2000)] suggests that surface roughness on a scale of the width of the thermal pathway is important in the experiment.Comment: 6 pages, 3 figure

Tilting light's polarization plane to spatially separate the ultrafast nonlinear response of chiral molecules

Distinguishing between the left- and right-handed versions of a chiral molecule (enantiomers) is vital, but also inherently difficult. Traditional optical methods using elliptically/circularly polarized light rely on linear effects which arise beyond the electric-dipole approximation, posing major limitations for ultrafast spectroscopy. Here we show how to turn an ultrashort elliptical pulse into an efficient chiro-optical tool: by tilting its polarization plane towards its propagation direction. This forward tilt can be achieved by focusing the beam tightly, creating structured light which exhibits a nontrivial polarization pattern in space. Using state-of-the-art computational modelling, we show that our structured field realizes a near-field interferometer for efficient chiral recognition that separates the nonlinear optical response of left- and right-handed molecules in space. Our work provides a simple, yet highly efficient, way of spatially structuring the polarization of light to image molecular chirality, with extreme enantio-efficiency and on ultrafast time scales