Valuation of cash flows under random rates of interest: A linear algebraic approach

This paper reformulates the classical problem of cash flow valuation under stochastic discount factors into a system of linear equations with random perturbations. Using convergence results, a sequence of uniform approximations is developed. The new formulation leads to a general framework for deriving approximate statistics of cash flows for a broad class of models of stochastic interest rate process. We show applications of the proposed method by pricing default-free and defaultable cash flows. The methodology developed in this paper is applicable to a variety of uncertain cash flow analysis problems

A new moment matching algorithm for sampling from partially specified symmetric distributions

A new algorithm is proposed for generating scenarios from a partially specified symmetric multivariate distribution. The algorithm generates samples which match the first two moments exactly and match the marginal fourth moments approximately, using a semidefinite programming procedure. The performance of the algorithm is illustrated by a numerical example

DENIS Observations of Multibeam Galaxies in the Zone of Avoidance

Roughly 25% of the optical extragalactic sky is obscured by the dust and stars of our Milky Way. Dynamically important structures might still lie hidden in this zone. Various surveys are presently being employed to uncover the galaxy distribution in the Zone of Avoidance (ZOA) but all suffer from (different) limitations and selection effects. We illustrate the promise of using a multi-wavelength approach for extragalactic large-scale studies behind the ZOA, i.e. a combination of three surveys -- optical, systematic blind HI and near-infrared (NIR), which will allow the mapping of the peculiar velocity field in the ZOA through the NIR Tully-Fisher relation. In particular, we present here the results of cross-identifying HI-detected galaxies with the DENIS NIR survey, and the use of NIR colours to determine foreground extinctions.Comment: Accepted for publication in PASA. Proceedings of workshop "HI in the Local Universe, II", held in Melbourne, Sept. 1998. 9 pages, LaTeX2e, 2 encapsulated PS figures, 3 JPEG figures, Full resolution figures 2, 3 and 4 and full resolution paper are at ftp://ftp.iap.fr/pub/from_users/gam/PAPERS/HICONF

A new algorithm for latent state estimation in nonlinear time series models

We consider the problem of optimal state estimation for a wide class of nonlinear time series models. A modified sigma point filter is proposed, which uses a new procedure for generating sigma points. Unlike the existing sigma point generation methodologies in engineering where negative probability weights may occur, we develop an algorithm capable of generating sample points that always form a valid probability distribution while still allowing the user to sample using a random number generator. The effectiveness of the new filtering procedure is assessed through simulation examples

A linear algebraic method for pricing temporary life annuities and insurance policies

We recast the valuation of annuities and life insurance contracts under mortality and interest rates, both of which are stochastic, as a problem of solving a system of linear equations with random perturbations. A sequence of uniform approximations is developed which allows for fast and accurate computation of expected values. Our reformulation of the valuation problem provides a general framework which can be employed to find insurance premiums and annuity values covering a wide class of stochastic models for mortality and interest rate processes. The proposed approach provides a computationally efficient alternative to Monte Carlo based valuation in pricing mortality-linked contingent claims

Why does the Jeans Swindle work?

When measuring the mass profile of any given cosmological structure through internal kinematics, the distant background density is always ignored. This trick is often refereed to as the "Jeans Swindle". Without this trick a divergent term from the background density renders the mass profile undefined, however, this trick has no formal justification. We show that when one includes the expansion of the Universe in the Jeans equation, a term appears which exactly cancels the divergent term from the background. We thereby establish a formal justification for using the Jeans Swindle.Comment: 5 pages, 2 figures, Accepted for publication in MNRAS Letter

MOND and Cosmology

I review various ideas on MOND cosmology and structure formation beginning with non-relativistic models in analogy with Newtonian cosmology. I discuss relativistic MOND cosmology in the context of Bekenstein's theory and propose an alternative biscalar effective theory of MOND in which the acceleration parameter is identified with the cosmic time derivative of a matter coupling scalar field. Cosmic CDM appears in this theory as scalar field oscillations of the auxiliary "coupling strength" field.Comment: 8 pages, LaTeX, 2 figures, to appear in proceedings of IAP05 in Paris: Mass Profiles and Shapes of Cosmological Structures, G. Mamon, F. Combes, C. Deffayet and B. Fort (eds), (EDP-Sciences 2005

The evolution of galaxy groups and of galaxies therein

Properties of groups of galaxies depend sensitively on the algorithm for group selection, and even the most recent catalogs of groups built from redshift-space selection should suffer from projections and infalling galaxies. The cosmo-dynamical evolution of groups from initial Hubble expansion to collapse and virialization leads to a fundamental track (FT) in virial-theorem-M/L vs crossing time. The increased rates of mergers, both direct and after dynamical friction, in groups relative to clusters, explain the higher fraction of elliptical galaxies at given local number density in X-ray selected groups, relative to clusters, even when the hierarchical evolution of groups is considered. Galaxies falling into groups and clusters should later travel outwards to typically 2 virial radii, which is somewhat less than the outermost radius where observed galaxy star formation efficiencies are enhanced relative to field galaxies of same morphological type. An ongoing analysis of the internal kinematics of X-ray selected groups suggests that the radial profiles of line of sight velocity dispersion are consistent with isotropic NFW distributions for the total mass density, with higher (lower) concentrations than LambdaCDM predictions in groups of high (low) mass. The critical mass, at M200 ~ 10^13 M_sun is consistent with possible breaks in the X-ray luminosity-temperature and Fundamental Plane relations. The internal kinematics of groups indicate that the M-T relation of groups should agree with that extrapolated from clusters with no break at the group scale. The analyses of observed velocity dispersion profiles and of the FT both suggest that low velocity dispersion groups (compact and loose, X-ray emitting or undetected) are quite contaminated by chance projections.Comment: Invited review, ESO workshop "Groups of Galaxies in the Nearby Universe", held in Santiago, Chile, 5-9 December 2005, ed. I. Saviane, V. Ivanov & J. Borissova, 16 page