Design and layout strategies for integrated frequency synthesizers with high spectral purity

Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG geförderten) Allianz- bzw. Nationallizenz frei zugänglich.This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.Design guidelines for fractional-N phase-locked loops with a high spectral purity of the output signal are presented. Various causes for phase noise and spurious tones (spurs) in integer-N and fractional-N phase-locked loops (PLLs) are briefly described. These mechanisms include device noise, quantization noise folding, and noise coupling from charge pump (CP) and reference input buffer to the voltage-controlled oscillator (VCO) and vice versa through substrate and bondwires. Remedies are derived to mitigate the problems by using proper PLL parameters and a careful chip layout. They include a large CP current, sufficiently large transistors in the reference input buffer, linearization of the phase detector, a high speed of the programmable frequency divider, and minimization of the cross-coupling between the VCO and the other building blocks. Examples are given based on experimental PLLs in SiGe BiCMOS technologies for space communication and wireless base stations.BMBF, 03ZZ0512A, Zwanzig20 - Verbundvorhaben: fast-spot; TP1: Modularer Basisband- Prozessor mit extrem hohen Datenraten, sehr kurzen Latenzzeiten und SiGe-Analog-Frontend-IC-Fertigung bei >200 GHz Trägerfrequen

Relating pain intensity of newborns to onset of nonlinear phenomena in cry recordings

The cries of several full term newborns, recorded during blood sampling, were analyzed. Spectrograms showed the appearance of irregular patterns related to the pain assessed using the method of the DAN scale. In particular, the appearance of Noise concentration Patterns (NP) in spectrograms was related to the increase of the pain suffered by the newborns. In this scenario, pain constitutes a bifurcation parameter for the vocal folds dynamic, inducing a Ruelle-Takens-Newhouse chaotic transition.Comment: 15 pages, 4 figures, 1 table. Accepted for publication in Phys. Lett.

Explicit formulas for the minimal variance hedging strategy in a martingale case

We explicitly compute the optimal strategy in discrete time for a European option and the variance of the corresponding hedging error under the hypothesis that the underlying is a martingale following a Geometric Brownian motion.minimal variance hedging

Delegated Portfolio Management with Socially Responsible Investment Constraints

We consider the problem of how to set a compensation for a portfolio manager who is required to restrict the investment set, as it happens when applying socially responsible screening. This is a problem of Delegated Portfolio Management where the reduction of the investment opportunities to the subset of sustainable assets involves a loss in the expected earnings for the portfolio manager, compensated by the investor through an extra bonus on the realized return. Under simple assumptions on the investor, the manager and the market, we compute the optimal bonus as a function of the manager's risk aversion and his expertise, and of the impact of the portfolio restriction on the Mean Variance efficient frontier. We conclude by discussing the problem of selecting the best managers when his ability is not directly observable by the investor.Delegated portfolio management; Socially responsible investment; Incentives; Extrinsic incentives; Intrinsic motives

Implied Volatilities of Caps: a Gaussian approach.

Implied volatilities of interest rate derivatives present some distinctive features, like the inverse relation with the underlying rates and the humped or decreasing shape of their term structure. The objective of this paper is to analyze and explain such features in a Gaussian framework. We will use an approximate relation which separates in a simple and natural way the effects on the implied volatility of the level and of the uncertainty of the interest rates. This is a useful tool for understanding the features of different models and to interpret some characteristics of the market.Implied volatility, forward rates, HJM models, calibration

Evaluating Discrete Dynamic Strategies in Affine Models

We consider the problem of measuring the performance of a dynamic strategy, rebalanced at a discrete set of dates, whose objective is that of replicating a claim in an incomplete market driven by a general multi-dimensional affine process. The main purpose of the paper is to propose a method to efficiently compute the expected value and variance of the hedging error of the strategy. Representing the pay-off the claim as an inverse Laplace transform, we are able to get semi-explicit formulas for strategies satisfying a certain property. The result is quite general and can be applied to a very rich class of models and strategies, including Delta hedging. We provide illustrations for the cases of interest rate models and Heston's stochastic volatility model.

Measuring the error of dynamic hedging: a Laplace transform approach

We compute the expected value and the variance of the discretization error of delta hedging and of other strategies in the presence of proportional transaction costs. The method, based on Laplace transform, applies to a fairly general class of models, including Black-Scholes, Merton's jump-diffusion and Normal Inverse Gaussian. The results obtained are not asymptotical approximations but exact and efficient formulas, valid for any number of trading dates. They can also be employed under model mispecification, to measure the influence of model risk on a hedging strategy.hedging, Laplace transform

The IGARCH e®ect: Consequences on volatility forecasting and option trading

This paper studies the integrated Garch (IGARCH) e®ect, a phenomenon often encountered when estimating conditional auto-regressive models on ¯nancial time series. The analysis of twelve indexes of major ¯nancial markets provides empirical evidence of its well-spread presence especially in periods of market turbulence. We examine its impact on volatility forecasting and on trading and hedging options. We show that a strong IGARCH e®ect may have relevant consequences on trading and on risk management.stock returns, volatility forecasting, GARCH(1,1), IGARCH effect, option hedging

The cost of sustainability on optimal portfolio choices

We examine the impact of including sustainability related constraints on optimal portfolio selection. Our analysis covers an investment set containing the components of the S&P500 index from 1993 to 2008. The optimizations are performed according to the classical mean-variance approach while sustainability constraints are introduced by eliminating from the investment pool those assets that do not comply to given social responsibility criteria (screening). We compare the efficient frontiers with and without screening. The analysis is performed on the three main dimensions of sustainability, namely Environmental, Social and Governance. We find that socially responsible screening implies a small loss in terms of Sharpe Ratio even though it has a strong impact on the market capitalization of the optimal port-folio. The spanning test shows that the ex-post differences between the two frontiers, when short selling is not allowed, are significant only in the case of Environmental screeningSocially responsible investments, optimal portfolios, screening.

Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?

The paper investigates from an empirical perspective aspects related to the occurrence of the IGARCH effect and to its impact on volatility forecasting. It reports the results of a detailed analysis of twelve samples of returns on financial indexes from major economies (Australia, Austria, Belgium, France, Germany, Japan, Sweden, UK, and US). The study is conducted in a novel, non-stationary modeling framework proposed in Starica and Granger (2005). The analysis shows that samples characterized by more pronounced changes in the unconditional variance display stronger IGARCH effect and pronounced differences between estimated GARCH(1,1) unconditional variance and the sample variance. Moreover, we document particularly poor longer-horizon forecasting performance of the GARCH(1,1) model for samples characterized by strong discrepancy between the two measures of unconditional variance. The periods of poor forecasting behavior can be as long as four years. The forecasting behavior is evaluated through a direct comparison with a naive non-stationary approach and is based on mean square errors (MSE) as well as on an option replicating exercise.stock returns, volatility forecasting, GARCH(1,1), IGARCH effect, hedging, non-stationary, longer horizon forecasting