Real options with priced regime-switching risk

We develop a model of regime-switching risk premia as well as regimedependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced

The effects of different parameterizations of Markov-switching in a CIR model of bond pricing

We examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are allowed to be switched is crucial. Ignoring this issue may result in a parameterization that produces no improvement (in terms of bond pricing) relative to the standard CIR model, even when there are clear breaks in the data

Preliminary design of a large tetrahedral truss/hexagonal heatshield panel aerobrake

An aerobrake structural concept is introduced which consists of two primary components: (1) a lightweight erectable tetrahedral support truss; and (2) sandwich hexagonal heatshield panels which, when attached to the truss, form a continuous impermeable aerobraking surface. Generic finite element models and a general analysis procedure to design tetrahedral truss/hexagonal heatshield panel aerobrakes is developed, and values of the aerobrake design parameters which minimize mass and packaging volume for a 120-foot-diameter aerobrake are determined. Sensitivity of the aerobrake design to variations in design parameters is also assessed. The results show that a 120-foot-diameter aerobrake is viable using the concept presented (i.e., the aerobrake mass is less than or equal to 15 percent of the payload spacecraft mass). Minimizing the aerobrake mass (by increasing the number of rings in the support truss) however, leads to aerobrakes with the highest part count

The Dilemma of Delegating Search: Budgeting in Public Employment Services

The poor performance often attributed to many public employment services may be explained in part by a delegation problem between the central office and local job centers. In markets characterized by frictions, job centers function as match-makers, linking job seekers with relevant vacancies. Because their search intensity in contacting employers and collecting data is not verifiable by the central authority, a typical moral hazard problem can arise. To overcome the delegation problem and provide high-powered incentives for high levels of search effort on the part of job centers, we propose output-related schemes that assign greater staff capacity to agencies achieving high strike rates.matching unemployment, public employment service, delegation problem, moral hazard, search theory

Multifractal wave functions of simple quantum maps

We study numerically multifractal properties of two models of one-dimensional quantum maps, a map with pseudointegrable dynamics and intermediate spectral statistics, and a map with an Anderson-like transition recently implemented with cold atoms. Using extensive numerical simulations, we compute the multifractal exponents of quantum wave functions and study their properties, with the help of two different numerical methods used for classical multifractal systems (box-counting method and wavelet method). We compare the results of the two methods over a wide range of values. We show that the wave functions of the Anderson map display a multifractal behavior similar to eigenfunctions of the three-dimensional Anderson transition but of a weaker type. Wave functions of the intermediate map share some common properties with eigenfunctions at the Anderson transition (two sets of multifractal exponents, with similar asymptotic behavior), but other properties are markedly different (large linear regime for multifractal exponents even for strong multifractality, different distributions of moments of wave functions, absence of symmetry of the exponents). Our results thus indicate that the intermediate map presents original properties, different from certain characteristics of the Anderson transition derived from the nonlinear sigma model. We also discuss the importance of finite-size effects.Comment: 15 pages, 21 figure

The WIRED Survey. IV. New Dust Disks from the McCook & Sion White Dwarf Catalog

We have compiled photometric data from the Wide-field Infrared Survey Explorer All Sky Survey and other archival sources for the more than 2200 objects in the original McCook & Sion Catalog of Spectroscopically Identified White Dwarfs. We applied color-selection criteria to identify 28 targets whose infrared spectral energy distributions depart from the expectation for the white dwarf photosphere alone. Seven of these are previously known white dwarfs with circumstellar dust disks, five are known central stars of planetary nebulae, and six were excluded for being known binaries or having possible contamination of their infrared photometry. We fit white dwarf models to the spectral energy distributions of the remaining ten targets, and find seven new candidates with infrared excess suggesting the presence of a circumstellar dust disk. We compare the model dust disk properties for these new candidates with a comprehensive compilation of previously published parameters for known white dwarfs with dust disks. It is possible that the current census of white dwarfs with dust disks that produce an excess detectable at K-band and shorter wavelengths is close to complete for the entire sample of known WDs to the detection limits of existing near-IR all-sky surveys. The white dwarf dust disk candidates now being found using longer wavelength infrared data are drawn from a previously underrepresented region of parameter space, in which the dust disks are overall cooler, narrower in radial extent, and/or contain fewer emitting grains.Comment: accepted for publication in The Astrophysical Journal; 34 pages, 5 figures, 5 tables; added missing reference in Section 2 (p. 7