Heat Equation on the Cone and the Spectrum of the Spherical Laplacian

Spectrum of the Laplacian on spherical domains is analyzed from the point of view of the heat equation on the cone. The series solution to the heat equation on the cone is known to lead to a study of the Laplacian eigenvalue problem on domains on the sphere in higher dimensions. It is found that the solution leads naturally to a spectral function, a `generating function' for the eigenvalues and multiplicities of the Laplacian, expressible in closed form for certain domains on the sphere. Analytical properties of the spectral function suggest a simple scaling procedure for estimating the eigenvalues. Comparison of the first eigenvalue estimate with the available theoretical and numerical results for some specific domains shows remarkable agreement.Comment: 16 page

Levy subordinator model: A two parameter model of default dependency

The May 2005 crisis and the recent credit crisis have indicated to us that any realistic model of default dependency needs to account for at least two risk factors, firm-specific and catastrophic. Unfortunately, the popular Gaussian copula model has no identifiable support to either of these. In this article, a two parameter model of default dependency based on the Levy subordinator is presented accounting for these two risk factors. Subordinators are Levy processes with non-decreasing sample paths. They help ensure that the loss process is non-decreasing leading to a promising class of dynamic models. The simplest subordinator is the Levy subordinator, a maximally skewed stable process with index of stability 1/2. Interestingly, this simplest subordinator turns out to be the appropriate choice as the basic process in modeling default dependency. Its attractive feature is that it admits a closed form expression for its distribution function. This helps in automatic calibration to individual hazard rate curves and efficient pricing with Fast Fourier Transform techniques. It is structured similar to the one-factor Gaussian copula model and can easily be implemented within the framework of the existing infrastructure. As it turns out, the Gaussian copula model can itself be recast into this framework highlighting its limitations. The model can also be investigated numerically with a Monte Carlo simulation algorithm. It admits a tractable framework of random recovery. It is investigated numerically and the implied base correlations are presented over a wide range of its parameters. The investigation also demonstrates its ability to generate reasonable hedge ratios

Levy Density Based Intensity Modeling of the Correlation Smile

The jump distribution for the default intensities in a reduced form framework is modeled and calibrated to provide reasonable fits to CDX.NA.IG and iTraxx Europe CDOs, to 5, 7 and 10 year maturities simultaneously. Calibration is carried out using an efficient Monte Carlo simulation algorithm suitable for both homogeneous and heterogeneous collections of credit names. The underlying jump process is found to relate closely to a maximally skewed stable Levy process with index of stability alpha ~ 1.5.Default Risk; Default Correlation; Default Intensity; Intensity Model; Levy Density; CDO; Monte Carlo

A Semi-Analytical Parametric Model for Dependent Defaults

A semi-analytical parametric approach to modeling default dependency is presented. It is a multi-factor model based on instantaneous default correlation that also takes into account higher order default correlations. It is capable of accommodating a term structure of default correlations and has a dynamic formulation in the form of a continuous time Markov chain. With two factors and a constant hazard rate, it provides perfect fits to four tranches of CDX.NA.IG and iTraxx Europe CDOs of 5, 7 and 10 year maturities. With time dependent hazard rates, it provides perfect fits to all the five tranches for all three maturities.Default Risk; Default Correlation; CDO; Markov Chain; Semi-analytical; Parametric

Delayed Default Dependency and Default Contagion

Delayed, hence non-simultaneous, dependent defaults are discussed in a reduced form model. The model is a generalization of a multi-factor model based on simultaneous defaults to incorporate delayed defaults. It provides a natural smoothening of discontinuities in the joint probability densities in models with simultaneous defaults. It is a dynamic model that exhibits default contagion in a multi-factor setting. It admits an efficient Monte Carlo simulation algorithm that can handle heterogeneous collections of credit names. It can be calibrated to provide exact fits to CDX.NA.IG and iTraxx Europe CDOs just as its version with simultaneous defaults.Default Risk; Default Correlation; Default Contagion; Delayed Default; CDO; Monte Carlo

Modeling and control study of the NASA 0.3-meter transonic cryogenic tunnel for use with sulfur hexafluoride medium

The NASA Langley 0.3-m Transonic Cryogenic Tunnel is to be modified to operate with sulfur hexafluoride gas while retaining its present capability to operate with nitrogen. The modified tunnel will provide high Reynolds number flow on aerodynamic models with two different test gases. The document details a study of the SF6 tunnel performance boundaries, thermodynamic modeling of the tunnel process, nonlinear dynamical simulation of math model to yield tunnel responses, the closed loop control requirements, control laws, and mechanization of the control laws on the microprocessor based controller

The NASA Langley Research Center 0.3-meter transonic cryogenic tunnel microcomputer controller source code

The 0.3 m Transonic Cryogenic Tunnel (TCT) microcomputer based controller has been operating for several thousand hours in a safe and efficient manner. A complete listing is provided of the source codes for the tunnel controller and tunnel simulator. Included also is a listing of all the variables used in these programs. Several changes made to the controller are described. These changes are to improve the controller ease of use and safety

The NASA Langley Research Center 0.3-meter transonic cryogenic tunnel T-P/Re-M controller manual

A new microcomputer based controller for the 0.3-m Transonic Cryogenic Tunnel (TCT) has been commissioned in 1988 and has reliably operated for more than a year. The tunnel stagnation pressure, gas stagnation temperature, tunnel wall structural temperature and flow Mach number are precisely controlled by the new controller in a stable manner. The tunnel control hardware, software, and the flow chart to assist in calibration of the sensors, actuators, and the controller real time functions are described. The software installation details are also presented. The report serves as the maintenance and trouble shooting manual for the 0.3-m TCT controller