Risk Minimization and Optimal Derivative Design in a Principal Agent Game

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She evaluates her risk using a coherent and law invariant risk measure and tries minimize her exposure by selling derivative securities on her income to individual agents. The agents have mean-variance preferences with heterogeneous risk aversion coefficients. An agent's degree of risk aversion is private information and hidden to the principal who only knows the overall distribution. We show that the principal's risk minimization problem has a solution and illustrate the effects of risk transfer on her income by means of two specific examples. Our model extends earlier work of Barrieu and El Karoui (2005) and Carlier, Ekeland and Touzi (2007).Comment: 28 pages, 4 figure

Synchronization of networks with variable local properties

We study the synchronization transition of Kuramoto oscillators in scale-free networks that are characterized by tunable local properties. Specifically, we perform a detailed finite size scaling analysis and inspect how the critical properties of the dynamics change when the clustering coefficient and the average shortest path length are varied. The results show that the onset of synchronization does depend on these properties, though the dependence is smooth. On the contrary, the appearance of complete synchronization is radically affected by the structure of the networks. Our study highlights the need of exploring the whole phase diagram and not only the stability of the fully synchronized state, where most studies have been done up to now.Comment: 5 pages and 3 figures. APS style. Paper to be published in IJBC (special issue on Complex Networks' Structure and Dynamics

The physics of twisted magnetic tubes rising in a stratified medium: two dimensional results

The physics of a twisted magnetic flux tube rising in a stratified medium is studied using a numerical MHD code. The problem considered is fully compressible (no Boussinesq approximation), includes ohmic resistivity, and is two dimensional, i.e., there is no variation of the variables in the direction of the tube axis. We study a high plasma beta case with small ratio of radius to external pressure scaleheight. The results obtained can therefore be of relevance to understand the transport of magnetic flux across the solar convection zone.Comment: To be published in ApJ, Vol. 492, Jan 10th, 1998; 25 pages, 16 figures. NEW VERSION: THE PREVIOUS ONE DIDN'T PRINT CORRECTLY. The style file overrulehere.sty is include

Transition Temperature of a Magnetic Semiconductor with Angular Momentum j

We employ dynamical mean-field theory to identify the materials properties that optimize Tc for a generalized double-exchange (DE) model. We reach the surprising conclusion that Tc achieves a maximum when the band angular momentum j equals 3/2 and when the masses in the 1/2 and 3/2 sub-bands are equal. However, we also find that Tc is significantly reduced as the ratio of the masses decreases from one. Consequently, the search for dilute magnetic semiconductors (DMS) materials with high Tc should proceed on two fronts. In semiconductors with p bands, such as the currently studied Mn-doped Ge and GaAs semiconductors, Tc may be optimized by tuning the band masses through strain engineering or artificial nanostructures. On the other hand, semiconductors with s or d bands with nearly equal effective masses might prove to have higher Tc's than p-band materials with disparate effective masses.Comment: 5 pages, 4 figure

Improved routing strategies for Internet traffic delivery

We analyze different strategies aimed at optimizing routing policies in the Internet. We first show that for a simple deterministic algorithm the local properties of the network deeply influence the time needed for packet delivery between two arbitrarily chosen nodes. We next rely on a real Internet map at the autonomous system level and introduce a score function that allows us to examine different routing protocols and their efficiency in traffic handling and packet delivery. Our results suggest that actual mechanisms are not the most efficient and that they can be integrated in a more general, though not too complex, scheme.Comment: Final versio