On Correlation Effects and Default Clustering in Credit Models

We establish Markovian models in the Heath, Jarrow and Morton paradigm where the credit spreads curves of multiple firms and the term structure of interest rates can be represented analytically at any point in time in terms of a finite number of state variables. The models make no restrictions on the correlation structure between interest rates and credit spreads. In addition to diffusive and jump-induced default correlations, default events can impact credit spreads of surviving firms. This feature allows a greater clustering of defaults. Numerical implementations highlight the importance of taking interest rate-credit spread correlations, credit-spread impact factors and the full credit spread curve information into account when building a unified model framework that prices any credit derivative.

Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and volatilities adds significantly to the description of the time series process and improves option pricing performance. In addition, we provide the first-ever hedging effectiveness tests of GARCH option models.Options (Finance) ; Hedging (Finance)

A DSP-based Active Disturbance Rejection Control Design for a 1-kW H-bridge DC-DC Power Converter

This paper presents the design and implementation of an advanced digital controller for a 1-kW H-bridge dc-dc power converter. A new control algorithm based on the active disturbance rejection concept is developed to cope with the highly nonlinear dynamics of the converter and the disturbances. An experimental digital control system is used to implement the new control strategy. It consists of a digital control board based on the TMS320C6711 digital signal processor chip, an analogy I/O board, and a complex programmable logic device pulsewidth-modulation generation board. Using a newly developed bandwidth-parametrization technique, an autotuning method based on noise quantification is also developed and tested. Experimental results show the advantages and flexibilities of the new control method for the H-bridge dc-dc power converter

Fabricating colloidal crystals and construction of ordered nanostructures

Colloidal crystals of polymeric or inorganic microspheres are of extensive interest due to their potential applications in such as sensing, optics, photonic bandgap and surface patterning. The article highlights a set of approaches developed in our group, which are efficient to prepare colloidal crystals with ordered voids, patterned colloidal crystals on non-planar surfaces, heterogeneous colloidal crystals of different building blocks, colloidal crystals composed of non-spherical polyhedrons, and colloidal crystals of non-close-packed colloidal microspheres in particular. The use of these colloidal crystals as templates for different microstructures range from nanoscale to micron-scale is also summarized

Study on the Utilization of Aphid Resistant Character in Wild Soybean. I. Aphid Resistant Performance of F2 Generation from Crosses Between Cultivated and Wild Soybeans

Three crosses between 3 cultivat ed (G. max) and 2 aphid resistant wild soybean (G. soja) lines were made to study the inheritance of resistance and segregation patterns in F 2 generation with artificial inoculation technique s. The aphid resistance of F2 plants showed continuous mono-peek distributions which are inclined towards the susceptible parents. Most F2 plants were susceptible or highly susceptible. Only about 7.2 to 10.2% of the F2 plants were resistant to soybean aphid. The segregations in 2 out of 3 crosses studied fitted the hyp othesis that there are 2 independent gene pairs controlling the aphid resistant character of the wild soybean lines (P > 0.50). The segregation of the other cross also tended to fit the 2 major gene model. These results indicated that the aphid resistance of the wild parents might be controlled by 2 independent recessive genes and some other minor genes. Supposing that the aphid resistant character was quantitatively inherited, the overall inheritability estimated from the variances of parents and F 2 populations was between 85.5% and 97.0%. Despite of the high inheritability of aphid resistance, it is recommended that the selection of resistance should be postponed to later generations such as F3 or F4 , because the scarcity of resistant genes may be recessively inherited, and the number of backcrosses made in each cycle of selection should be limited to avoid the resistant genes being lost.Originating text in Chinese.Citation: Sun, Zhiqiang, Tian, Peizhan, Wang, Jian. (1991). Study on the Utilization of Aphid Resistant Character in Wild Soybean. I. Aphid Resistant Performance of F2 Generation from Crosses Between Cultivated and Wild Soybeans. Soybean Science, 10(2), 98-103