International Law - Federal Jurisdiction - Arising under Clause - Foreign Sovereign Immunities Act of 1976

The Supreme Court of the United States has held that in cases where a foreign plaintiff brings suit against a foreign sovereign under the Foreign Sovereign Immunities Act of 1976 federal courts may constitutionally exercise jurisidiction [sic] under article III of the United States Constitution. Verlinden B. V. v. Central Bank of Nigeria, 103 S. Ct. 1962 (1983)

Credit risk premia and quadratic BSDEs with a single jump

This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that representation allows for quadratic growth generators and jumps at random times. Since the existence and uniqueness theory for this class of BSDEs has not yet been developed to the required generality, the first part of the paper is devoted to fill that gap. By using a simple constructive algorithm, and known results on continuous quadratic BSDEs, we provide sufficient conditions for the existence and uniqueness of quadratic BSDEs with discontinuities at random times

Random Time Forward Starting Options

We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\bf Random Time Forward Starting (RTFS)}. We show that, under an appropriate "martingale preserving" hypothesis, we can exhibit arbitrage free prices, which can be explicitly computed in many classical market models, at least under independence between the random time and the assets' prices. Practical implementations of the pricing methodologies are also provided. Finally a credit value adjustment formula for these OTC options is computed for the unilateral counterparty credit risk.Comment: 19 pages, 1 figur

Extreme times for volatility processes

We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major financial indices. We find in all these data sets a very similar behavior that is far from being that of a simple Wiener process. It seems necessary to include a framework like the one provided by stochastic volatility models with a reverting force driving volatility toward its normal level to take into account memory and clustering effects in volatility dynamics. We also detect in data a very different behavior in the mean first-passage time depending whether the level is higher or lower than the normal level of volatility. For this reason, we discuss asymptotic approximations and confront them to empirical results with a good agreement, specially with the ExpOU model.Comment: 10, 6 colored figure

Generalised risk-sensitive control with full and partial state observation

This paper generalises the risk-sensitive cost functional by introducing noise dependent penalties on the state and control variables. The optimal control problems for the full and partial state observation are considered. Using a change of probability measure approach, explicit closed-form solutions are found in both cases. This has resulted in a new risk-sensitive regulator and filter, which are generalisations of the well-known classical results

Structural and magnetic properties of isovalently substituted multiferroic BiFeO3: Insights from Raman spectroscopy

Raman spectra, supplemented by powder x-ray diffraction and magnetization data of isovalently A- and B-site substituted BiFeO3 in the Bi1−xLaxFeO3 (0≤x≤1), Bi1−xTbxFeO3 (0≤x≤0.2), and Bi0.9Sm0.1Fe1−xMnxO3 (0≤x≤0.3) series, are presented. A good agreement between the structural transitions observed by x-ray diffraction and the vibrational modes observed in the Raman spectra is found over the whole substitutional ranges, and in particular we find spectroscopic signatures of a PbZrO3-type structure for Bi0.8La0.2FeO3. Mode assignments in the substituted materials are made based on Raman spectra of the end-members BiFeO3 and LaFeO3. Moreover, by comparing spectra from all samples with R3c structure, the phonon assignment in BiFeO3 is revisited. A close connection between the degree of octahedral tilt and the Raman shift of the A1 oxygen a−a−a− tilt mode is established. An explanation for the strong second-order scattering observed in Bi1−xLaxFeO3 and Bi1−xTbxFeO3 is suggested, including the assignment of the previously mysterious BiFeO3 mode at 620 cm−1. Finally, the magnetization data indicates a transition from a cycloidal modulated state towards a canted antiferromagnet with increasing A-site substitution, while Bi0.9Sm0.1Fe1−xMnxO3 with x=0 and 0.15 exhibit an anomalous closing of the hysteresis loop at low temperatures. For low A-site substitution levels (x≤0.1) the decreasing Raman intensity of the Fe derived modes correlates with the partial destruction of the spin cycloid as the substitution level increases