Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Discretization and solution of the inhomogeneous Bogoliubov-de Gennes equations

In the presence of inhomogeneities, defects and currents, the equations describing a Bose-condensed ensemble of alkali atoms have to be solved numerically. By combining both linear and nonlinear equations within a Discrete Variable Representation framework, we describe a computational scheme for the solution of the coupled Bogoliubov-de Gennes (BdG) and nonlinear Schrodinger (NLS) equations for fields in a 3D spheroidal potential. We use the method to calculate the collective excitation spectrum and quasiparticle mode densities for excitations of a Bose condensed gas in a spheroidal trap. The method is compared against finite-difference and spectral methods, and we find the DVR computational scheme to be superior in accuracy and efficiency for the cases we consider. (C) 2004 Elsevier B.V. All rights reserved.

A review of the equations used to predict the velocity distribution within a ship’s propeller jet

Predicting the velocity within the ship’s propeller jet is the initial step to investigate the scouring made by the propeller jet. Albertson et al. (1950) suggested the investigation of a submerged jet can be undertaken through observation of the plain water jet from an orifice. The plain water jet investigation of Albertson et al. (1950) was based on the axial momentum theory. This has been the basis of all subsequent work with propeller jets. In reality, the velocity characteristic of a ship’s propeller jet is more complicated than a plain water jet. Fuehrer and Römisch (1977), Blaauw and van de Kaa (1978), Berger et al. (1981), Verhey (1983) and Hamill (1987) have carried out investigations using physical model. This paper reviews the state-of-art of the equations used to predict the time-averaged axial, tangential and radial components of velocity within the zone of flow establishment and the zone of established flow of a ship’s propeller jet.

Bilinear-biquadratic spin-1 chain undergoing quadratic Zeeman effect

The Heisenberg model for spin-1 bosons in one dimension presents many different quantum phases, including the famous topological Haldane phase. Here we study the robustness of such phases in front of a SU(2) symmetry-breaking field as well as the emergence of unique phases. Previous studies have analyzed the effect of such uniaxial anisotropy in some restricted relevant points of the phase diagram. Here we extend those studies and present the complete phase diagram of the spin-1 chain with uniaxial anisotropy. To this aim, we employ the density-matrix renormalization group together with analytical approaches. The complete phase diagram can be realized using ultracold spinor gases in the Mott insulator regime under a quadratic Zeeman effect.

Critical assessment of two-qubit post-Markovian master equations

A post-Markovian master equation has been recently proposed as a tool to describe the evolution of a system coupled to a memory-keeping environment [A. Shabani and D. A. Lidar, Phys. Rev. A 71, 020101 ( R) ( 2005)]. For a single qubit affected by appropriately chosen environmental conditions, the corresponding dynamics is always legitimate and physical. Here we extend such a situation to the case of two qubits, only one of which experiences the environmental effects. We show how, despite the innocence of such an extension, the introduction of the second qubit should be done cum grano salis to avoid consequences such as the breaking of the positivity of the associated dynamical map. This hints at the necessity of using care when adopting phenomenologically derived models for evolutions occurring outside the Markovian framework.

Cold-formed steel sections with web openings subjected to web crippling under two-flange loading conditions - Part II: Parametric study and proposed design equations

A parametric study of cold-formed steel sections with web openings subjected to web crippling was undertaken using finite element analysis, to investigate the effects of web holes and cross-section sizes on the web crippling strengths of channel sections subjected to web crippling under both interior-two-flange (ITF) and end-two-flange (ETF) loading conditions. In both loading conditions, the hole was centred beneath the bearing plate. It was demonstrated that the main factors influencing the web crippling strength are the ratio of the hole depth to the flat depth of the web, and the ratio of the length of bearing plates to the flat depth of the web. In this paper, design recommendations in the form of web crippling strength reduction factors are proposed, that are conservative to both the experimental and finite element results.

R-matrix-Floquet theory of multiphoton processes:VIII. A linear equations method

A new linear equations method for calculating the R-matrix, which arises in the R-matrix-Floquet theory of multiphoton processes, is introduced. This method replaces the diagonalization of the Floquet Hamiltonian matrix by the solution of a set of linear simultaneous equations which are solved, in the present work, by the conjugate gradient method. This approach uses considerably less computer memory and can be readily ported onto parallel computers. It will thus enable much larger problems of current interest to be treated. This new method is tested by applying it to three-photon ionization of helium at frequencies where double resonances with a bound state and autoionizing states are important. Finally, an alternative linear equations method, which avoids the explicit calculation of the R-matrix by incorporating the boundary conditions directly, is described in an appendix.

Minimal Hilbert series for quadratic algebras and the Anick conjecture

We study the question on whether the famous Golod–Shafarevich estimate, which gives a lower bound for the Hilbert series of a (noncommutative) algebra, is attained. This question was considered by Anick in his 1983 paper ‘Generic algebras and CW-complexes’, Princeton Univ. Press, where he proved that the estimate is attained for the number of quadratic relations $d\leq n^2/4$
and $d\geq n^2/2$, and conjectured that it is the case for any number of quadratic relations. The particular point where the number of relations is equal to $n(n-1)/2$ was addressed by Vershik. He conjectured that a generic algebra with this number of relations is finite dimensional. We announce here the result that over any infinite field, the Anick conjecture holds for $d \geq 4(n2+n)/9$ and an arbitrary number of generators. We also discuss the result that confirms the Vershik conjecture over any field of characteristic 0, and a series of related
asymptotic results.

Finite dimensional semigroup quadratic algebras with the minimal number of relations

A quadratic semigroup algebra is an algebra over a field given by the generators x_1, . . . , x_n and a finite set of quadratic relations each of which either has the shape x_j x_k = 0 or the shape x_j x_k = x_l x_m . We prove that a quadratic semigroup algebra given by n generators and d=(n^2+n)/4 relations is always infinite dimensional. This strengthens the Golod–Shafarevich estimate for the above class of algebras. Our main result however is that for every n, there is a finite dimensional quadratic semigroup algebra with n generators and d_n relations, where d_n is the first integer greater than (n^2+n)/4 . That is, the above Golod–Shafarevich-type estimate for semigroup algebras is sharp.