Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Equity Default Swaps are new equity derivatives designed as a product for credit investors.Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.Cross-Asset Trading of Credit Risk;Constant-Elasticity-of-Variance (CEV) Diffusion

Assessing Credit with Equity: A CEV Model with Jump to Default

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero barrier either diffusively or with a jump, which implies non-zero credit spreads for short maturities.Easy cross-asset hedging is enabled.By means of a tersely speci.ed pricing kernel, we also make analytic credit-risk management possible under systematic jump-to-default risk.Equity;Corporate Bonds;Credit Default Swaps;Constant-Elasticity-of-Variance (CEV) Diffusion;Jump to Default

Second Order Phase Transitions : From Infinite to Finite Systems

We investigate the Equation of State (EOS) of classical systems having 300 and 512 particles confined in a box with periodic boundary conditions. We show that such a system, independently on the number of particles investigated, has a critical density of about 1/3 the ground state density and a critical temperature of about $2.5~ MeV$. The mass distribution at the critical point exhibits a power law with $\tau = 2.23$. Making use of the grand partition function of Fisher's droplet model, we obtain an analytical EOS around the critical point in good agreement with the one extracted from the numerical simulations.Comment: RevTex file, 17 pages + 9 figures available upon request from [email protected]

Everyday contrasts - the sugar cane engenhos of northern Argentina as socio-cultural complex

Este artículo indaga los patrones de la vida social en los ingenios azucareros del norte argentino entre 1870 y 1930, producto de la interacción de una serie de variables que incluyen la disposición jerárquica del espacio; la organización y los ritmos de trabajo; las medidas adoptadas por los propietarios o las empresas para modelar (con propósitos "civilizatorios") las conductas de los trabajadores; las representaciones y creencias, los hábitos de sociabilidad y las actitudes frente al trabajo de los mismos. La resultante fue una dinámica de la vida cotidiana caracterizada, por un lado, por un interjuego de imposiciones, resistencias y adaptaciones; por otra parte, por agudos contrastes: el observable entre el período de la zafra y los meses de interzafra; el que separaba la utilización del tiempo y el estilo de vida, en general, de los distintos estratos que conformaban el complejo sociocultural del ingenio - patrones, personal jerárquico y de dirección, técnicos y empleados administrativos, obreros calificados, peones con contrato "permanente" y peones "transitorios". El trabajo incluye análisis comparativos con otros complejos azucareros latinoamericanos.This article explores patterns of social life in the sugar plantations of northern Argentina between 1870 and 1930, resulting from the interplay of a number of variables including the hierarchical arrangement of space, organization and working patterns, the measures taken by owners or strategies of modeling (with purposes of "civilizing") workers' behavior, the representations and beliefs, social habits and attitudes to work. The result was a dynamic everyday life that is characterized, first, by an interplay of obligation, resilience and adaptability, on the other hand, by sharp contrasts: the observable in the period between the harvest and during inter harvest, the differences in time-use and lifestyle, in general, of the various social strata that make up the complex sociocultural of the sugar cane engenho - masters, hierarchical and managerial staff, technicians and administrative staff, skilled workers, permanent contract laborers and itinerant laborers. The study includes comparative analysis with other Latin American sugar complex.Fil: Campi, Daniel Enrique A.. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán. Instituto Superior de Estudios Sociales. Universidad Nacional de Tucumán. Instituto Superior de Estudios Sociales; Argentin

A model for liquid-striped liquid phase separation in liquids of anisotropic polarons

The phase separation between a striped polaron liquid at the particular density and a high density polaron liquid is described by a modified Van der Waals scheme. The striped polaron liquid represents the pseudo gap matter or Wigner-like polaron phase at 1/8 doping in cuprate superconductors. The model includes the tendency of pseudo- Jahn-Teller polarons to form anisotropic directional bonds at a preferential volume with the formation of different liquid phases. The model gives the coexistence of a first low density polaron striped liquid and a second high density liquid that appears in cuprate superconductors for doping larger than 1/8. We discuss how the strength of anisotropic bonds controls the variation the phase separation scenarios for complex systems in the presence of a quantum critical point where the phase separation vanishes.Comment: 10 pages, 3 figure

Experimental Signals of Phase Transition

The connection between the thermodynamics of charged finite nuclear systems and the asymptotically measured partitions is presented. Some open questions, concerning in particular equilibrium partitions are discussed. We show a detailed comparison of the decay patterns in Au+ C,Cu,Au central collisions and in Au quasi-projectile events. Observation of abnormally large fluctuations in carefully selected samples of data is reported as an indication of a first order phase transition (negative heat capacity) in the nuclear equation of state.Comment: 8 pages, 8th International Conference on Nucleus-Nucleus Collisions, Moscow 200

Assessing Credit with Equity:A CEV Model with Jump to Default

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero barrier either diffusively or with a jump, which implies non-zero credit spreads for short maturities.Easy cross-asset hedging is enabled.By means of a tersely speci.ed pricing kernel, we also make analytic credit-risk management possible under systematic jump-to-default risk.

Liquid-Gas Phase Transition in Nuclear Equation of State

A canonical ensemble model is used to describe a caloric curve of nuclear liquid-gas phase transition. Allowing a discontinuity in the freeze out density from one spinodal density to another for a given initial temperature, the nuclear liquid-gas phase transition can be described as first order. Averaging over various freeze out densities of all the possible initial temperatures for a given total reaction energy, the first order characteristics of liquid-gas phase transition is smeared out to a smooth transition. Two experiments, one at low beam energy and one at high beam energy show different caloric behaviors and are discussed.Comment: 12 pages in Revtex including two Postscript figure

Highly Automated Dipole EStimation (HADES)

Automatic estimation of current dipoles from biomagnetic data is still a problematic task. This is due not only to the ill-posedness of the inverse problem but also to two intrinsic difficulties introduced by the dipolar model: the unknown number of sources and the nonlinear relationship between the source locations and the data. Recently, we have developed a new Bayesian approach, particle filtering, based on dynamical tracking of the dipole constellation. Contrary to many dipole-based methods, particle filtering does not assume stationarity of the source configuration: the number of dipoles and their positions are estimated and updated dynamically during the course of the MEG sequence. We have now developed a Matlab-based graphical user interface, which allows nonexpert users to do automatic dipole estimation from MEG data with particle filtering. In the present paper, we describe the main features of the software and show the analysis of both a synthetic data set and an experimental dataset