Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach

We propose an analytical approximation of the term structure of interest rates under general diffusion processes of the short-rate and state variables. A method of approximating conditional moments as the solution to a system of ordinary differential equations is applied to the pricing of bonds. Numerical experiments based on two illustrative models show that the second-order approximation is accurate for maturities of up to five years and the third-order approximation is effective for longer maturities. We also show the possibility of improving the second-order approximation without much increasing the computational burden.Short-rate, Term structure, Approximation, Conditional moment

Discovery of Extremely Large-Amplitude Quasi-Periodic Photometric Variability in WC9-Type Wolf-Rayet Binary, WR 104

We discovered that the Wolf-Rayet (WR)+OB star binary, WR 104, renowned for its associated "dusty pinwheel nebula" recently spatially resolved with infrared interferometry, exhibits strong quasi-periodic optical variations with a full amplitude of 2.7 mag. Such a large-amplitude, continuous variation has been unprecedented in a WR star. The optical quasi-period (~241 d) is in almost perfect agreement with the interferometric period (243.5+/-3 d). The remarkable agreement of the dominant period in optical variability with the orbital period supports that the strongly varying dust obscuration is physically related to the binary motion, rather than sporadic dust-forming episodes. Considering the low orbital inclination (11+/-7 deg) and the nearly circular orbit inferred from the interferometric observations, the strongly variable line-of-sight extinction suggests that the highly structured extinction can be being formed via an ejection of dust in the direction of the binary rotation axis. Another viable explanation is that the three-dimensional structure of the shock front, itself is the obscuring body. Depending on the geometry, the dusty shock front near the conjunction phase of the binary can completely obscure the inner WR-star wind and the OB star, which can explain the amplitude of optical fading and the past observation of remarkable spectral variation.Comment: 5 pages, 4 figures, to appear in PASJ (Letters), using an alternative style fil

Deep Transient Optical Fading in the WC9 Star WR 106

We discovered that the WR9-type star WR 106 (HDE 313643) underwent a deep episodic fading in 2000. The depth of the fading (dV ~ 2.9 mag) surpassed those of all known similar "eclipse-like" fadings in WR stars. This fading episode was likely to be produced by a line-of-sight episodic dust formation rather than a periodic enhancement of dust production in the WR-star wind during the passage of the companion star though an elliptical orbit. The overall 2000 episode was composed of at least two distinct fadings. These individual fadings seem to more support that the initial dust formation triggered a second dust formation, or that the two independent dust formations occurred by the same triggering mechanism rather than a stepwise dust formation. We also discuss on phenomenological similarity of the present fading with the double fading of R CrB observed in 1999-2000.Comment: 3 pages, 4 figures, to appear in Astron. Astrophys. (Letters

Continuous frequency tuning of an external cavity diode laser significantly beyond the free spectral range by sweeping the injection current

In this study, the frequency of an external cavity diode laser with an antireflection-coated laser diode was continuously tuned over a range of 14.8 GHz, which was 4.5 times larger than the free spectral range, by only sweeping the injection current to the laser diode. Without the antireflection coating, the tuning range was reduced to one-fifth of the free spectral range, and mode hops occurred with hysteresis. The theoretical analysis starting from the hysteresis indicated that an unexpectedly wide tuning is possible if the longitudinal modes of the solitary laser diode vanish owing to antireflection coating.Comment: 10 pages, 5 figure

Is Nonlinear Drift Implied by the Short-End of the Term Structure?

Nonlinear drift models of the short-rate are estimated using data on the short-end of the term structure, where the cross-sectional relation is obtained by an analytical approximation. We find that (i) nonlinear physical drift is not implied unless it is strongly affected by cross-sectional dimensions of the data; (ii) nonlinear risk-neutral drift that allows for fast mean-reversion for high rates is desirable to explain and predict observed patterns of yield spreads; and (iii) for higher-frequency data from which transitory shocks are removed, (ii) still remains valid although the nonlinearity is somewhat reduced.Short-Rate, Nonlinear Drift, Term Structure, Linear Approximation

Term Structure Models Can Predict Interest Rate Volatility. But How?

This paper attempts to predict the volatility of interest rates through dynamic term structure models. For this attempt, the models are improved, based on the three-factor Gaussian model, to have level-dependent volatilities supported by data. The empirical results show that the predictive power of the proposed models is higher than that of the affine models. Compared with time-series models, it is low for the four-week forecasting horizon but can be comparable for middle to long term rates by extending the horizon up to 32 weeks. The combination of these two different types of forecasts can lead to higher predictive power.

Reliable Authentication Method by Using Cellular Phones in Web Based Training

Articles are the intellectual property of the author. The Creative Commons copyright permits copy or dissemination for education or non-profit purposes so long as author and title of the article are included with title, volume, number and URL for the Journal.Institutions of higher education that offer credits through distance learning using web based training (WBT) have increased recently. In these situations, an authentication model using the IDpassword pair is generally used. However, this authentication model cannot prevent “identity theft” effectively. We propose a new authentication method that solves this problem by using cellular phones as an authentication token. The authentication accuracy is expected to be improved by combining the ID-password pair with the subscriber ID of cellular phones. We realized a prototype system and prepared a questionnaire in order to validate the effectiveness of our proposed method, and as a result, we demonstrated the effectiveness and realizability of our method.ArticleInternational Journal of Instructional Technology and Distance Learning. 3(12):35-45 (2006)journal articl