On Correlation Effects and Default Clustering in Credit Models

We establish Markovian models in the Heath, Jarrow and Morton paradigm where the credit spreads curves of multiple firms and the term structure of interest rates can be represented analytically at any point in time in terms of a finite number of state variables. The models make no restrictions on the correlation structure between interest rates and credit spreads. In addition to diffusive and jump-induced default correlations, default events can impact credit spreads of surviving firms. This feature allows a greater clustering of defaults. Numerical implementations highlight the importance of taking interest rate-credit spread correlations, credit-spread impact factors and the full credit spread curve information into account when building a unified model framework that prices any credit derivative.

Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and volatilities adds significantly to the description of the time series process and improves option pricing performance. In addition, we provide the first-ever hedging effectiveness tests of GARCH option models.Options (Finance) ; Hedging (Finance)

Fabricating colloidal crystals and construction of ordered nanostructures

Colloidal crystals of polymeric or inorganic microspheres are of extensive interest due to their potential applications in such as sensing, optics, photonic bandgap and surface patterning. The article highlights a set of approaches developed in our group, which are efficient to prepare colloidal crystals with ordered voids, patterned colloidal crystals on non-planar surfaces, heterogeneous colloidal crystals of different building blocks, colloidal crystals composed of non-spherical polyhedrons, and colloidal crystals of non-close-packed colloidal microspheres in particular. The use of these colloidal crystals as templates for different microstructures range from nanoscale to micron-scale is also summarized

A DSP-based Active Disturbance Rejection Control Design for a 1-kW H-bridge DC-DC Power Converter

This paper presents the design and implementation of an advanced digital controller for a 1-kW H-bridge dc-dc power converter. A new control algorithm based on the active disturbance rejection concept is developed to cope with the highly nonlinear dynamics of the converter and the disturbances. An experimental digital control system is used to implement the new control strategy. It consists of a digital control board based on the TMS320C6711 digital signal processor chip, an analogy I/O board, and a complex programmable logic device pulsewidth-modulation generation board. Using a newly developed bandwidth-parametrization technique, an autotuning method based on noise quantification is also developed and tested. Experimental results show the advantages and flexibilities of the new control method for the H-bridge dc-dc power converter