An Empirical Investigation in Credit Spread Indices

We study the dynamics of the spread between U.S. corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process. Using techniques developed for interest rate processes we try to infer from the data what acceptable process can be used to model aggregate credit spreads for option pricing or risk management purposes. We find that there is significant evidence of mean reversion especially for higher rated spreads and that the volatility of Aaa spreads exhibit a U-shape while the volatility of Baa spreads is monotonically increasing in the level of spreads. Based on these observations and on the evidence of jumps in the series, we propose a new model for credit spread indices (an Ornstein-Uhlenbeck with jumps) and estimate it by maximum likelihood.Credit spread; risk management; jump diffusion; volatility; nonparametric

Design and optimization of electrochemical microreactors for continuous electrosynthesis

The study focuses on the design and construction, as well as the theoretical and experimental optimization of electrochemical filter press microreactors for the electrosynthesis of molecules with a high added value. The main characteristics of these devices are firstly a high-specific electrochemical area to increase conversion and selectivity, and secondly the shape and size of themicrochannels designed for a uniform residence time distribution of the fluid. A heat exchanger is integrated into the microstructured electrode to rapidly remove (or supply) the heat required in exo- or endothermic reactions. The microreactors designed are used to perform-specific electrosynthesis reactions such as thermodynamically unfavorable reactions (continuous NADH regeneration), or reactions with high enthalpy changes

Microscopic correlation between chemical and electronic states in epitaxial graphene on SiC(000-1)

We present energy filtered electron emission spectromicroscopy with spatial and wave-vector resolution on few layer epitaxial graphene on SiC$(000-1) grown by furnace annealing. Low energy electron microscopy shows that more than 80% of the sample is covered by 2-3 graphene layers. C1s spectromicroscopy provides an independent measurement of the graphene thickness distribution map. The work function, measured by photoelectron emission microscopy (PEEM), varies across the surface from 4.34 to 4.50eV according to both the graphene thickness and the graphene-SiC interface chemical state. At least two SiC surface chemical states (i.e., two different SiC surface structures) are present at the graphene/SiC interface. Charge transfer occurs at each graphene/SiC interface. K-space PEEM gives 3D maps of the k_|| pi - pi* band dispersion in micron scale regions show that the Dirac point shifts as a function of graphene thickness. Novel Bragg diffraction of the Dirac cones via the superlattice formed by the commensurately rotated graphene sheets is observed. The experiments underline the importance of lateral and spectroscopic resolution on the scale of future electronic devices in order to precisely characterize the transport properties and band alignments

Black Hole Relics in String Gravity: Last Stages of Hawking Evaporation

One of the most intriguing problem of modern physics is the question of the endpoint of black hole evaporation. Based on Einstein-dilaton-Gauss-Bonnet four dimensional string gravity model we show that black holes do not disappear and that the end of the evaporation process leaves some relic. The possibility of experimental detection of the remnant black holes is investigated. If they really exist, such objects could be a considerable part of the non baryonic dark matter in our Universe.Comment: 15 pages, accepted to Class. Quant. Gra

Evaluating megaprojects: from the “iron triangle” to network mapping

Evaluation literature has paid relatively little attention to the specific needs of evaluating large, complex industrial and infrastructure projects, often called ‘megaprojects’. The abundant megaproject governance literature, in turn, has largely focused on the so-called ‘megaproject pathologies’, i.e. the chronic budget overruns, and failure of such projects to keep to timetables and deliver the expected social and economic benefits. This article draws on these two strands of literature, identifies shortcomings, and suggests potential pathways towards an improved evaluation of megaprojects. To counterbalance the current overemphasis on relatively narrowly defined accountability as the main function of megaproject evaluation, and the narrow definition of project success in megaproject evaluation, the article argues that conceptualizing megaprojects as dynamic and evolving networks would provide a useful basis for the design of an evaluation approach better able to promote learning and to address the socio economic aspects of megaprojects. A modified version of ‘network mapping’ is suggested as a possible framework for megaproject evaluation, with the exploration of the multiple accountability relationships as a central evaluation task, designed to reconcile learning and accountability as the central evaluation functions. The article highlights the role of evaluation as an ‘emergent’ property of spontaneous megaproject ‘governing’, and explores the challenges that this poses to the role of the evaluator