Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

The hydrogen bond: a molecular beam microwave spectroscopist's view with a universal appeal

In this manuscript, we propose a criterion for a weakly bound complex formed in a supersonic beam to be characterized as a `hydrogen bonded complex'. For a `hydrogen bonded complex', the zero point energy along any large amplitude vibrational coordinate that destroys the orientational preference for the hydrogen bond should be significantly below the barrier along that coordinate so that there is at least one bound level. These are vibrational modes that do not lead to the breakdown of the complex as a whole. If the zero point level is higher than the barrier, the `hydrogen bond' would not be able to stabilize the orientation which favors it and it is no longer sensible to characterize a complex as hydrogen bonded. Four complexes, Ar-2-H2O, Ar-2-H2S, C2H4-H2O and C2H4-H2S, were chosen for investigations. Zero point energies and barriers for large amplitude motions were calculated at a reasonable level of calculation, MP2(full)/aug-cc-pVTZ, for all these complexes. Atoms in molecules (AIM) theoretical analyses of these complexes were carried out as well. All these complexes would be considered hydrogen bonded according to the AIM theoretical criteria suggested by Koch and Popelier for C-H center dot center dot center dot O hydrogen bonds (U. Koch and P. L. A. Popelier, J. Phys. Chem., 1995, 99, 9747), which has been widely and, at times, incorrectly used for all types of contacts involving H. It is shown that, according to the criterion proposed here, the Ar-2-H2O/H2S complexes are not hydrogen bonded even at zero kelvin and C2H4-H2O/H2S complexes are. This analysis can naturally be extended to all temperatures. It can explain the recent experimental observations on crystal structures of H2S at various conditions and the crossed beam scattering studies on rare gases with H2O and H2S.

Zero-point entropy in 'spin ice'

Common water ice (ice I-h) is an unusual solid-the oxygen atoms form a periodic structure but the hydrogen atoms are highly disordered due to there being two inequivalent O-H bond lengths'. Pauling showed that the presence of these two bond lengths leads to a macroscopic degeneracy of possible ground states(2,3), such that the system has finite entropy as the temperature tends towards zero. The dynamics associated with this degeneracy are experimentally inaccessible, however, as ice melts and the hydrogen dynamics cannot be studied independently of oxygen motion(4). An analogous system(5) in which this degeneracy can be studied is a magnet with the pyrochlore structure-termed 'spin ice'-where spin orientation plays a similar role to that of the hydrogen position in ice I-h. Here we present specific-heat data for one such system, Dy2Ti2O7, from which we infer a total spin entropy of 0.67Rln2. This is similar to the value, 0.71Rln2, determined for ice I-h, SO confirming the validity of the correspondence. We also find, through application of a magnetic field, behaviour not accessible in water ice-restoration of much of the ground-state entropy and new transitions involving transverse spin degrees of freedom.

Negative hyperconjugation and red-, blue- or zero-shift in X-Z center dot center dot center dot Y complexes

A generalized explanation is provided for the existence of the red-and blue-shifting nature of X-Z bonds (Z = H, halogens, chalcogens, pnicogens, etc.) in X-Z center dot center dot center dot Y complexes based on computational studies on a selected set of weakly bonded complexes and analysis of existing literature data. The additional electrons and orbitals available on Z in comparison to H make for dramatic differences between the H-bond and the rest of the Z-bonds. The nature of the X-group and its influence on the X-Z bond length in the parent X-Z molecule largely controls the change in the X-Z bond length on X-Z center dot center dot center dot Y bond formation; the Y-group usually influences only the magnitude of the effects controlled by X. The major factors which control the X-Z bond length change are: (a) negative hyperconjugative donation of electron density from X-group to X-Z sigma* antibonding molecular orbital (ABMO) in the parent X-Z, (b) induced negative hyperconjugation from the lone pair of electrons on Z to the antibonding orbitals of the X-group, and (c) charge transfer (CT) from the Y-group to the X-Z sigma* orbital. The exchange repulsion from the Y-group that shifts partial electron density at the X-Z sigma* ABMO back to X leads to blue-shifting and the CT from the Y-group to the sigma* ABMO of X-Z leads to red-shifting. The balance between these two opposing forces decides red-, zero- or blue-shifting. A continuum of behaviour of X-Z bond length variation is inevitable in X-Z center dot center dot center dot Y complexes.

Isotopic fractionation in proteins as a measure of hydrogen bond length

If a deuterated molecule containing strong intramolecular hydrogen bonds is placed in a hydrogenated solvent, it may preferentially exchange deuterium for hydrogen. This preference is due to the difference between the vibrational zero-point energy for hydrogen and deuterium. It is found that the associated fractionation factor (I) is correlated with the strength of the intramolecular hydrogen bonds. This correlation has been used to determine the length of the H-bonds (donor-acceptor separation) in a diverse range of enzymes and has been argued to support the existence of short low-barrier H-bonds. Starting with a potential energy surface based on a simple diabatic state model for H-bonds, we calculate (I) as a function of the proton donor-acceptor distance R. For numerical results, we use a parameterization of the model for symmetric 0-H. ``.0 bonds R. H. McKenzie, Chem. Phys. Lett. 535, 196 (2012)]. We consider the relative contributions of the 0-H stretch vibration, O-H bend vibrations (both in plane and out of plane), tunneling splitting effects at finite temperature, and the secondary geometric isotope effect. We compare our total (I) as a function of R with NMR experimental results for enzymes, and in particular with an earlier model parametrization (D(R), used previously to determine bond lengths. (C) 2015 AIP Publishing LLC.

Facile C-O bond scission in alcohols on Zn surfaces

Interaction of methanol, ethanol, and 2-propanol with polycrystalline as well as (0001) surfaces of Zn has been investigated by photoelectron spectroscopy and vibrational energy loss spectroscopy. All the alcohols show evidence for the condensed species along with the chemisorbed species at 80 K. With increase in temperature to similar to 120 K, the condensed species desorbs, leaving the chemisorbed species which decomposes to give the alkoxy species. The alkoxy species is produced increasingly at lower temperatures as we go from methanol to 2-propanol, the 2-propoxy species occurring even at 80 K. The alkoxy species undergo C-O bond scission giving rise to a hydrocarbon species and oxygen. The C-O bond cleavage occurs at a relatively low temperature of similar to 150 K. The effect of preadsorbed oxygen is to stabilize the methoxy species and prevent C-O bond scission. On the other hand, coadsorption of oxygen with methanol favors the formation of the methoxy species and gives rise to hydrocarbon species arising from the C-O bond scission even at 80 K.

Zero-bias conductance and energy gap measurements in LaNiO3-YBa2Cu3O7-x junctions

Conductance measurements of junctions between a high- superconductor and a metallic oxide have been carried out along the a-b plane to examine the tunnel-junction spectra. For these measurements, in situ films have been grown on c-axis oriented thin films using the pulsed laser deposition technique. Two distinctive energy gaps have been observed along with conductance peaks around zero bias. The analysis of zero-bias conductance and energy gap data suggests the presence of midgap states located at the centre of a finite energy gap. The results obtained are also in accordance with the d-wave nature of high- superconductors.

Axially homogeneous, zero mean flow buoyancy-driven turbulence in a vertical pipe

We report an experimental study of a new type of turbulent flow that is driven purely by buoyancy. The flow is due to an unstable density difference, created using brine and water, across the ends of a long (length/diameter = 9) vertical pipe. The Schmidt number Sc is 670, and the Rayleigh number (Ra) based on the density gradient and diameter is about 10(8). Under these conditions the convection is turbulent, and the time-averaged velocity at any point is `zero'. The Reynolds number based on the Taylor microscale, Re-lambda, is about 65. The pipe is long enough for there to be an axially homogeneous region, with a linear density gradient, about 6-7 diameters long in the midlength of the pipe. In the absence of a mean flow and, therefore, mean shear, turbulence is sustained just by buoyancy. The flow can be thus considered to be an axially homogeneous turbulent natural convection driven by a constant (unstable) density gradient. We characterize the flow using flow visualization and particle image velocimetry (PIV). Measurements show that the mean velocities and the Reynolds shear stresses are zero across the cross-section; the root mean squared (r.m.s.) of the vertical velocity is larger than those of the lateral velocities (by about one and half times at the pipe axis). We identify some features of the turbulent flow using velocity correlation maps and the probability density functions of velocities and velocity differences. The flow away from the wall, affected mainly by buoyancy, consists of vertically moving fluid masses continually colliding and interacting, while the flow near the wall appears similar to that in wall-bound shear-free turbulence. The turbulence is anisotropic, with the anisotropy increasing to large values as the wall is approached. A mixing length model with the diameter of the pipe as the length scale predicts well the scalings for velocity fluctuations and the flux. This model implies that the Nusselt number would scale as (RaSc1/2)-Sc-1/2, and the Reynolds number would scale as (RaSc-1/2)-Sc-1/2. The velocity and the flux measurements appear to be consistent with the Ra-1/2 scaling, although it must be pointed out that the Rayleigh number range was less than 10. The Schmidt number was not varied to check the Sc scaling. The fluxes and the Reynolds numbers obtained in the present configuration are Much higher compared to what would be obtained in Rayleigh-Benard (R-B) convection for similar density differences.

Modeling of a pressure modulated desalination system using bond graph methodology

A desalination system is a complex multi energy domain system comprising power/energy flow across several domains such as electrical, thermal, and hydraulic. The dynamic modeling of a desalination system that comprehensively addresses all these multi energy domains is not adequately addressed in the literature. This paper proposes to address the issue of modeling the various energy domains for the case of a single stage flash evaporation desalination system. This paper presents a detailed bond graph modeling of a desalination unit with seamless integration of the power flow across electrical, thermal, and hydraulic domains. The paper further proposes a performance index function that leads to the tracking of the optimal chamber pressure giving the optimal flow rate for a given unit of energy expended. The model has been validated in steady state conditions by simulation and experimentation.

Bond graph toolbox for handling complex variable

Bond graph is an apt modelling tool for any system working across multiple energy domains. Power electronics system modelling is usually the study of the interplay of energy in the domains of electrical, mechanical, magnetic and thermal. The usefulness of bond graph modelling in power electronic field has been realised by researchers. Consequently in the last couple of decades, there has been a steadily increasing effort in developing simulation tools for bond graph modelling that are specially suited for power electronic study. For modelling rotating magnetic fields in electromagnetic machine models, a support for vector variables is essential. Unfortunately, all bond graph simulation tools presently provide support only for scalar variables. We propose an approach to provide complex variable and vector support to bond graph such that it will enable modelling of polyphase electromagnetic and spatial vector systems. We also introduced a rotary gyrator element and use it along with the switched junction for developing the complex/vector variable's toolbox. This approach is implemented by developing a complex S-function tool box in Simulink inside a MATLAB environment This choice has been made so as to synthesise the speed of S-function, the user friendliness of Simulink and the popularity of MATLAB.

Chemical bond approach to determining conductivity band gaps in amorphous chalcogenides and pnictides

The minimum energy required for the formation of conjugate pair of charged defects is found to be approximately equal to the experimental activation energy for d.c. conductivity in a number of amorphous chalcoganides and pnictides. This observation implies that the defect pair formation energy represents an intrinsic gap for transport in amorphous chalcogenides.

Quantum-Ohmic Resistance Fluctuation In Disordered Conductors - An Invariant Imbedding Approach

It is now well known that in extreme quantum limit, dominated by the elastic impurity scattering and the concomitant quantum interference, the zero-temperature d.c. resistance of a strictly one-dimensional disordered system is non-additive and non-self-averaging. While these statistical fluctuations may persist in the case of a physically thin wire, they are implicitly and questionably ignored in higher dimensions. In this work, we have re-examined this question. Following an invariant imbedding formulation, we first derive a stochastic differential equation for the complex amplitude reflection coefficient and hence obtain a Fokker-Planck equation for the full probability distribution of resistance for a one-dimensional continuum with a Gaussian white-noise random potential. We then employ the Migdal-Kadanoff type bond moving procedure and derive the d-dimensional generalization of the above probability distribution, or rather the associated cumulant function –‘the free energy’. For d=3, our analysis shows that the dispersion dominates the mobilitly edge phenomena in that (i) a one-parameter B-function depending on the mean conductance only does not exist, (ii) an approximate treatment gives a diffusion-correction involving the second cumulant. It is, however, not clear whether the fluctuations can render the transition at the mobility edge ‘first-order’. We also report some analytical results for the case of the one dimensional system in the presence of a finite electric fiekl. We find a cross-over from the exponential to the power-low length dependence of resistance as the field increases from zero. Also, the distribution of resistance saturates asymptotically to a poissonian form. Most of our analytical results are supported by the recent numerical simulation work reported by some authors.

Electron-electron interactions in polyacetylene

Experimental evidence for strong electron-electron interactions in polyacetylene is presented. These include (i) observation of a dipole forbidden state below the optical gap, (ii) observation of negative spin densities at sites at which noninteracting models predict zero spin density (iii) vanishing optical gap, in the infinite chain limit, in the closely related symmetrical linear cyanine dyes. To correctly explain these features it is necessary to solve correlated model Hamiltonians. Using diagrammatic valence bond method model exact solutions of correlated models of finite-size systems can be obtained and various physical properties of the low-lying states can be computed. These properties, when extrapolated to the infinite chain limit explain many of the experimental features observed in polyacetylene.

Theoretical investigations of the two-bond proton-carbon-13 coupling constants. Angular variations of the couplings involving carboxyl carbon

A formulation has been developed using perturbation theory to evaluate the π-contribution to the nuclear spin coupling constants involving nuclei at least one of which is an unsaturated center. This fromulation accounts for the π-contribution in terms of the core polarization and one-center exchange at the π-center. The formulation developed together with the Dirac vector model and Penney-Dirac bond-order formalisms was employed to calculate the geminal (two-bond) proton coupling constants of carboxyl carbons in α-disubstituted acetic acids. The calculated coupling constants were found to have an orientational dependence. The results of the calculation are in good agreement with the experimental values.