Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads

Bond issuers frequently immunize/hedge their interest rate exposure by means of interest rate swaps (IRS). The receiving leg matches all bond cash-flows, while the pay leg requires floating rate coupon payments of form LIBOR + a spread. The goal of hedging against interest rate risk is only achieved in full if the present value of this spread is zero. Using market data we show that under a traditional IRS hedging strategy an investor could still experience significant cash flow losses given a 1% shift in the underlying benchmark yield curve. We consider the instantaneous interest-rate risk of a bond portfolio that allows for general changes in interest rates. We make two contributions. The paper analyzes the size of hedging imperfections arising from the widening of the floating rate spread in a traditional swap contract and subsequently proposes two new practical, effective and analytically tractable swap structures; Structure 1: An Improved Parallel Hedge Swap, hedges against parallel shifts of the yield curve and Structure 2: An Improved Non-Parallel Hedge Swap, hedges against any movement of the swap curve. Analytical representations of these swaps are provided such that spreadsheet implementations are easily attainable.Portfolio Immunization; Interest Rate Swaps; Hedging; Floating Rate Spreads; Interest Rate Risk and Yield Curve

Changes in the fledging success over time with increasing population size in the Northern Lapwing Vanellus vanellus on Wangerooge Island (Lower Saxony, Germany)

In this study, we report the results of a long-term investigation on changes in population size and fledging success of Northern Lapwing on Wangerooge, a German Wadden Sea island. This population is increasing over a period of 34 years in contrast to numerous populations in North-western Europe. The reproductive success however declines over time and also with population density. Both effects cannot be considered separately due to autocorrelation. However, it is noted that the population on Wangerooge is not sustained by local recruitment only. This outcome is even more alarming as coastal areas and islands are considered as rare high quality meadow bird habitats. According to the present results Wangerooge cannot be considered as a source habitat for Northern Lapwings in North-western Germany.Die vorliegende Langzeitstudie beschreibt die Bestandsentwicklung und den Reproduktionserfolg des Kiebitzes (Vanellus vanellus) auf der Nordseeinsel Wangerooge (Niedersachsen, Deutschland). In den vergangenen 34 Jahren hat der Kiebitzbestand hier kontinuierlich zugenommen. Diese Entwicklung unterscheidet sich damit deutlich von denen anderer Kiebitzpopulationen in Nord- und Westeuropa. Der Bruterfolg des Kiebitzes auf Wangerooge nahm im gleichen Zeitraum mehr und mehr ab. Er zeigte zudem einen negativen Trend mit steigender Populationsgröße. Leider können beide Effekte aufgrund von Autokorrelation statistisch nicht separiert werden. Der mittlere Bruterfolg ist allerdings keineswegs hoch genug, um die Population selbst zu tragen. Dies ist alarmierend, da die Nordseeinseln und angrenzende Küstengebiete als qualitativ hochwertige Wiesenvogellebensräume gelten. Da nach derzeitigem Kenntnisstand der Bruterfolg des Kiebitzes auf Wangerooge nicht bestandserhaltend ist, kann die Insel auch nicht als „source-Habitat“ für diese Limikolenart gelten

Density-temperature scaling of the fragility in a model glass-former

Dynamical quantities such as the diffusion coefficient and relaxation times for some glass-formers may depend on density and temperature through a specific combination, rather than independently, allowing the representation of data over ranges of density and temperature as a function of a single scaling variable. Such a scaling, referred to as density - temperature (DT) scaling, is exact for liquids with inverse power law (IPL) interactions but has also been found to be approximately valid in many non-IPL liquids. We have analyzed the consequences of DT scaling on the density dependence of the fragility in a model glass-former. We find the density dependence of kinetic fragility to be weak, and show that it can be understood in terms of DT scaling and deviations of DT scaling at low densities. We also show that the Adam-Gibbs relation exhibits DT scaling and the scaling exponent computed from the density dependence of the activation free energy in the Adam-Gibbs relation, is consistent with the exponent values obtained by other means

Wahrnehmung von Wirtsdüften durch Forstschädlinge : Vergleich zwischen einem Holzbrüter und einem Rindenbrüter

The blue pine wood borer (Phaenops cyanea) and the black pine sawyer beetle (Monochamus galloprovincialis) (Fig. 1) both are pests of the white pine (Pinus silvestris) and other Pinus species. Both insects have nearly the same demands regarding their breeding site. Larval development requires a fresh, unwilted inner bark. An infestation occurs on freshly cut trees or on trees suffering from stress (e.g. after dry seasons, loss of needles caused by feeding caterpillars or damage by forest fires). Phaenops cyanea detects susceptible pines by their volatile emissions (SCHÜTZ et al. 2004) and is able to infest the trees already at a low stress level. During feeding the larvae avoid the resin ducts of the tree and thus evade the oleoresin defence. The beetle is endemic in Europe and – under favourable climatic conditions – can cause substantial damage to pine forests. It is the most significant bark-breeding beetle of white pine in the lowlands of north-eastern Germany. Monochamus galloprovincialis is found in Europe and northern Africa. The larvae tend to a more copious feeding which makes them more susceptible to the oleoresin defence of the tree. Thus, M. galloprovincialis prefers trees that are weakened by a higher degree of stress. The economic damage caused by feeding of thebeetle is low. However, the beetle has gained a special attention of forest scientists because of its association with the nematode Bursaphelenchus xylophilus which is causing the pine wilt disease (PWD) in Pinus. The only outbreak of the PWD within Europe is limited to an area of 258.000 ha in Portugal. (MOTA et al. 1999).Die Forstschädlinge Phaenops cyanea (Coleoptera: Buprestidae) und Monochamus galloprovincialis (Coleoptera: Cerambycidae) befallen beide Kiefern (Pinus sylvestris), die geschwächt sind, z.B. durch Wasser-Stress. Die Larven von P. cyanea entwickeln sich in oder unter der Rinde, während Larven von M. galloprovincialis nach einem Fraß im Kambium des befallenen Baumes auch tief in das Holz eindringen. P. cyanea befällt bereits Bäume, die nur einem geringen Stress ausgesetzt waren, während M. galloprovincialis Bäume bevorzugt, die erheblich geschwächt oder bereits tot sind. Die vorliegende Studie soll anhand elektrophysiologischer Experimente untersuchen, welchen olfaktorischen Hinweisen die beiden Insekten bei ihrer Suche nach einem geeigneten Eiablageplatz folgen. Duftstoffe von Pinus sylvestris wurden auf Aktivkohle gesammelt und mit Gaschromatographie, Massenspektroskopie und Elektroantennographie untersucht (GC-MS/ EAD). Die stärksten Signale von P. cyanea traten im Retentionsindex-Bereich von 936 (α-Pinen) bis 1200 auf, wobei insbesondere bizyklische Terpene und Terpenoide wie α-Pinen, β-Pinen, 1,8-Cineol und trans- Verbenol detektiert wurden. M. galloprovincialis reagierte auf einen weiteren Bereich von Stoffen, ebenfalls beginnend mit α-Pinen, bis hin zu Stoffen mit einem Retentionsindex von ca. 1300. Es scheint eine spezifische Empfindlichkeit für monozyklische und azyklische Terpene und Terpenoide vorzuliegen, insbesondere für γ-Terpinen, Terpinolen, β-Myrcen und p-Cymen

Real versus complex K-theory using Kasparov's bivariant KK-theory

In this paper, we use the KK-theory of Kasparov to prove exactness of sequences relating the K-theory of a real C^*-algebra and of its complexification (generalizing results of Boersema). We use this to relate the real version of the Baum-Connes conjecture for a discrete group to its complex counterpart. In particular, the complex Baum-Connes assembly map is an isomorphism if and only if the real one is, thus reproving a result of Baum and Karoubi. After inverting 2, the same is true for the injectivity or surjectivity part alone.Comment: Published by Algebraic and Geometric Topology at http://www.maths.warwick.ac.uk/agt/AGTVol4/agt-4-18.abs.htm

Emotional homework: a systematic literature review of patients’ intersession experiences.

Patients’ processing of therapy between sessions can be planned and deliberate (homework) or spontaneous and incidental (intersession experiences). Aiming to inform clinical practice and future research, this review synthesizes empirical findings relating to intersession experiences, including their types, prevalence, and associations with patient characteristics, therapeutic processes, and outcomes. Searches of electronic databases identified 781 journal articles, 14 met the inclusion criteria of investigating adult psychotherapy patients’ unplanned between-session experiences relating to their therapy and therapist, a further 4 were identified through hand searches and contact with authors. All 18 articles included in the review were written in either English or German language, 17 used quantitative and 1 qualitative methods. Their methodological quality was assessed using tools developed for the purpose of this review. Most patients report a range of intersession experiences, including recreating therapeutic dialogue, imagining interactions, images and dreams. Intensity and type were associated with patient personality, diagnosis, phase of therapy, alliance and outcome. Study limitations included small sample sizes, the exploratory nature of some designs, and the limited generalizability of results. Clinical implications include the potential of intersession experiences to provide information about the therapeutic relationship, and their association to treatment outcomes and possible post-therapy gains

Space-resolved dynamics of a tracer in a disordered solid

The dynamics of a tracer particle in a glassy matrix of obstacles displays slow complex transport as the free volume approaches a critical value and the void space falls apart. We investigate the emerging subdiffusive motion of the test particle by extensive molecular dynamics simulations and characterize the spatio-temporal transport in terms of two-time correlation functions, including the time-dependent diffusion coefficient as well as the wavenumber-dependent intermediate scattering function. We rationalize our findings within the framework of critical phenomena and compare our data to a dynamic scaling theory.Comment: 10 pages, 7 figures, submitted to Journal of Non-Crystalline Solid

Fun with higher-loop Feynman diagrams

We review recent progress that we have achieved in evaluating the class of fully massive vacuum integrals at five loops. After discussing topics that arise in classification, evaluation and algorithmic codification of this specific set of Feynman integrals, we present some selected new results for their expansions around 4 - 2ε dimensions