Credit risk with semimartingales and risk-neutrality

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure

Distribution-free specification tests of conditional models

This article proposes a class of asymptotically distribution-free specification tests for parametric conditional distributions. These tests are based on a martingale transform of a proper sequential empirical process of conditionally transformed data. Standard continuous functionals of this martingale provide omnibus tests while linear combinations of the orthogonal components in its spectral representation form a basis for directional tests. Finally, Neyman-type smooth tests, a compromise between directional and omnibus tests, are discussed. As a special example we study in detail the construction of directional tests for the null hypothesis of conditional normality versus heteroskedastic contiguous alternatives. A small Monte Carlo study shows that our tests attain the nominal level already for small sample sizes.Publicad

Nonparametric checks for single-index models

In this paper we study goodness-of-fit testing of single-index models. The large sample behavior of certain score-type test statistics is investigated. As a by-product, we obtain asymptotically distribution-free maximin tests for a large class of local alternatives. Furthermore, characteristic function based goodness-of-fit tests are proposed which are omnibus and able to detect peak alternatives. Simulation results indicate that the approximation through the limit distribution is acceptable already for moderate sample sizes. Applications to two real data sets are illustrated.Comment: Published at http://dx.doi.org/10.1214/009053605000000020 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Demo: Linux Goes Apple Picking: Cross-Platform Ad hoc Communication with Apple Wireless Direct Link

Apple Wireless Direct Link (AWDL) is a proprietary and undocumented wireless ad hoc protocol that Apple introduced around 2014 and which is the base for applications such as AirDrop and AirPlay. We have reverse engineered the protocol and explain its frame format and operation in our MobiCom '18 paper "One Billion Apples' Secret Sauce: Recipe of the Apple Wireless Direct Link Ad hoc Protocol." AWDL builds on the IEEE 802.11 standard and implements election, synchronization, and channel hopping mechanisms on top of it. Furthermore, AWDL features an IPv6-based data path which enables direct communication. To validate our own work, we implement a working prototype of AWDL on Linux-based systems. Our implementation is written in C, runs in userspace, and makes use of Linux's Netlink API for interactions with the system's networking stack and the pcap library for frame injection and reception. In our demonstrator, we show how our Linux system synchronizes to an existing AWDL cluster or takes over the master role itself. Furthermore, it can receive data frames from and send them to a MacBook or iPhone via AWDL. We demonstrate the data exchange via ICMPv6 echo request and replies as well as sending and receiving data over a TCP connection.Comment: The 24th Annual International Conference on Mobile Computing and Networking (MobiCom '18

Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects

This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the model, providing an analytical expression for the process distribution. We also prove that certain specifications of this model can provide negative serial persistence. Additionally, we find that the degree of serial autocorrelation is related to the arrival and magnitude of abnormal information. Finally, a GMM framework is proposed to estimate the model parameters

Credit risk with semimartingales and risk-neutrality

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure.Credit-risk, Semimartingales, Interest-rate modelling

Efficient estimation of moments in linear mixed models

In the linear random effects model, when distributional assumptions such as normality of the error variables cannot be justified, moments may serve as alternatives to describe relevant distributions in neighborhoods of their means. Generally, estimators may be obtained as solutions of estimating equations. It turns out that there may be several equations, each of them leading to consistent estimators, in which case finding the efficient estimator becomes a crucial problem. In this paper, we systematically study estimation of moments of the errors and random effects in linear mixed models.Comment: Published in at http://dx.doi.org/10.3150/10-BEJ330 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Generation of Micro Mechanical Devices Using Stereo Lithography

A high resolution machining setup for creating three-dimensional precision components from a UV-curable photo-resin has been developed. By using frequency-converted diode-pumped solid state lasers, functional micro-mechanical devices are directly fabricated in a successive layer-bylayer fashion. Within this paper, the direct generation of micro assemblies having moving components without further assembly of parts will be presented. The micro system design is based on user-defined 3D-CAD data and will completively be built up within the fabrication cycle. By using specially developed μSL materials with suitable properties for micromechanical parts, the development from Rapid Prototyping towards Rapid Production of small series is intended.Mechanical Engineerin

Detection of X-rays from the jet-driving Symbiotic Star MWC 560

We report the detection of X-ray emission from the jet-driving symbiotic star MWC 560. We observed MWC 560 with XMM-Newton for 36 ks. We fitted the spectra from the EPIC pn, MOS1 and MOS2 instruments with XSPEC and examined the light curves with the package XRONOS. The spectrum can be fitted with a highly absorbed hard X-ray component from an optically-thin hot plasma, a Gaussian emission line with an energy of 6.1 keV and a less absorbed soft thermal component. The best fit is obtained with a model in which the hot component is produced by optically thin thermal emission from an isobaric cooling flow with a maximum temperature of 61 keV, which might be created inside an optically-thin boundary layer on the surface of the accreting with dwarf. The derived parameters of the hard component detected in MWC 560 are in good agreement with similar objects as CH Cyg, SS7317, RT Cru and T CrB, which all form a new sub-class of symbiotic stars emitting hard X-rays. Our previous numerical simulations of the jet in MWC 560 showed that it should produce detectable soft X-ray emission. We infer a temperature of 0.17 keV for the observed soft component, i.e. less than expected from our models. The total soft X-ray flux (i.e. at < 3 keV) is more than a factor 100 less than predicted for the propagating jet soon after its birth (<0.3 yr), but consistent with the value expected due its decrease with age. The ROSAT upper limit is also consistent with such a decrease. We find aperiodic or quasi-periodic variability on timescales of minutes and hours, but no periodic rapid variability. All results are consistent with an accreting white dwarf powering the X-ray emission and the existence of an optically-thin boundary layer around it.Comment: 8 pages, 5 figure, accepted for publication in A &