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.

General rules for predicting where a catalytic reaction should occur on metal surfaces: A density functional theory study of C-H and C-O bond breaking/making on flat, stepped, and kinked metal surfaces

To predict where a catalytic reaction should occur is a fundamental issue scientifically. Technologically, it is also important because it can facilitate the catalyst's design. However, to date, the understanding of this issue is rather limited. In this work, two types of reactions, CH4 CH3 + H and CO C + 0 on two transition metal surfaces, were chosen as model systems aiming to address in general where a catalytic reaction should occur. The dissociations of CH4 - CH3 + H and CO --> C + O and their reverse reactions on flat, stepped, and kinked Rh and Pd surfaces were studied in detail. We find the following: First, for the CH4 Ch(3) + H reaction, the dissociation barrier is reduced by similar to0.3 eV on steps and kinks as compared to that on flat surfaces. On the other hand, there is essentially no difference in barrier for the association reaction of CH3 + H on the flat surfaces and the defects. Second, for the CO C + 0 reaction, the dissociation barrier decreases dramatically (more than 0.8 eV on Rh and Pd) on steps and kinks as compared to that on flat surfaces. In contrast to the CH3 + H reaction, the C + 0 association reaction also preferentially occurs on steps and kinks. We also present a detailed analysis of the reaction barriers in which each barrier is decomposed quantitatively into a local electronic effect and a geometrical effect. Our DFT calculations show that surface defects such as steps and kinks can largely facilitate bond breaking, while whether the surface defects could promote bond formation depends on the individual reaction as well as the particular metal. The physical origin of these trends is identified and discussed. On the basis of our results, we arrive at some simple rules with respect to where a reaction should occur: (i) defects such as steps are always favored for dissociation reactions as compared to flat surfaces; and (ii) the reaction site of the association reactions is largely related to the magnitude of the bonding competition effect, which is determined by the reactant and metal valency. Reactions with high valency reactants are more likely to occur on defects (more structure-sensitive), as compared to reactions with low valency reactants. Moreover, the reactions on late transition metals are more likely to proceed on defects than those on the early transition metals.

The near-edge structure in energy-loss spectroscopy: many-electron and magnetic effects in transition metal nitrides and carbides

We investigate the ability of the local density approximation (LDA) in density functional theory to predict the near-edge structure in electron energy-loss spectroscopy in the dipole approximation. We include screening of the core hole within the LDA using Slater's transition state theory. We find that anion K-edge threshold energies are systematically overestimated by 4.22 +/- 0.44 eV in twelve transition metal carbides and nitrides in the rock-salt (B1) structure. When we apply this 'universal' many-electron correction to energy-loss spectra calculated within the transition state approximation to LDA, we find quantitative agreement with experiment to within one or two eV for TiC, TiN and VN. We compare our calculations to a simpler approach using a projected Mulliken density which honours the dipole selection rule, in place of the dipole matrix element itself. We find remarkably close agreement between these two approaches. Finally, we show an anomaly in the near-edge structure in CrN to be due to magnetic structure. In particular, we find that the N K edge in fact probes the magnetic moments and alignments of ther sublattice.

Density functional and Monte Carlo studies of sulfur. I. Structure and bonding in S-n rings and chains (n=2-18) (vol 118, pg 9257, 2003)

Density functional calculations have been performed for ring isomers of sulfur with up to 18 atoms, and for chains with up to ten atoms. There are many isomers of both types, and the calculations predict the existence of new forms. Larger rings and chains are very flexible, with numerous local energy minima. Apart from a small, but consistent overestimate in the bond lengths, the results reproduce experimental structures where known. Calculations are also performed on the energy surfaces of S8 rings, on the interaction between a pair of such rings, and the reaction between one S8 ring and the triplet diradical S8 chain. The results for potential energies, vibrational frequencies, and reaction mechanisms in sulfur rings and chains provide essential ingredients for Monte Carlo simulations of the liquid–liquid phase transition. The results of these simulations will be presented in Part II.

Equilibrium polymerization of cyclic carbonate oligomers. III. Chain branching and the gel transition

Ring-opening polymerization of cyclic polycarbonate oligomers, where monofunctional active sites act on difunctional monomers to produce an equilibrium distribution of rings and chains, leads to a "living polymer." Monte Carlo simulations [two-dimensional (2D) and three-dimensional (3D)] of the effects of single [J. Chem. Phys. 115, 3895 (2001)] and multiple active sites [J. Chem. Phys. 116, 7724 (2002)] are extended here to trifunctional active sites that lead to branching. Low concentrations of trifunctional particles c(3) reduce the degree of polymerization significantly in 2D, and higher concentrations (up to 32%) lead to further large changes in the phase diagram. Gel formation is observed at high total density and sizable c(3) as a continuous transition similar to percolation. Polymer and gel are much more stable in 3D than in 2D, and both the total density and the value of c(3) required to produce high molecular weight aggregates are reduced significantly. The degree of polymerization in high-density 3D systems is increased by the addition of trifunctional monomers and reduced slightly at low densities and low c(3). The presence of branching makes equilibrium states more sensitive (in 2D and 3D) to changes in temperature T. The stabilities of polymer and gel are enhanced by increasing T, and-for sufficiently high values of c(3)-there is a reversible polymer-gel transformation at a density-dependent floor temperature. (C) 2002 American Institute of Physics.

Plasma power measurement and hysteresis in the E-H transition of a rf inductively coupled plasma system

An experimental investigation of the argon plasma behavior near the E-H transition in an inductively coupled Gaseous Electronics Conference reference cell is reported. Electron density and temperature, ion density, argon metastable density, and optical emission measurements have been made as function of input power and gas pressure. When plotted versus plasma power, applied power corrected for coil and hardware losses, no hysteresis is observed in the measured plasma parameter dependence at the E-H mode transition. This suggests that hysteresis in the E-H mode transition is due to ignoring inherent power loss, primarily in the matching system.

Spontaneous spin polarization and electron localization in constrained geometries: The Wigner transition in nanowires

The Wigner transition in a jellium model of cylindrical nanowires has been investigated by density-functional computations using the local spin-density approximation. A wide range of background densities rho(b) has been explored from the nearly ideal metallic regime (r(s)=[3/4 pi rho(b)](1/3)=1) to the high correlation limit (r(s)=100). Computations have been performed using an unconstrained plane wave expansion for the Kohn-Sham orbitals and a large simulation cell with up to 480 electrons. The electron and spin distributions retain the cylindrical symmetry of the Hamiltonian at high density, while electron localization and spin polarization arise nearly simultaneously in low-density wires (r(s)similar to 30). At sufficiently low density (r(s)>= 40), the ground-state electron distribution is the superposition of well defined and nearly disjoint droplets, whose charge and spin densities integrate almost exactly to one electron and 1/2 mu(B), respectively. Droplets are arranged on radial shells and define a distorted lattice whose structure is intermediate between bcc and fcc. Dislocations and grain boundaries are apparent in the droplets' configuration found by our simulations. Our computations aim at modeling the behavior of experimental low-carried density systems made of lightly doped semiconductor nanostructures or conducting polymers.

Trends in C-O and C-N bond formations over transition metal surfaces: An insight into kinetic sensitivity in catalytic reactions

Transition metal catalyzed bond formation is a fundamental process in catalysis and is of general interest throughout chemistry. To date, however, the knowledge of association reactions is rather limited, relative to what is known about dissociative processes. For example, surprisingly little is known about how the bond-forming ability of a metal, in general, varies across the Periodic Table. In particular, the effect of reactant valency on such trends is poorly understood. Herein, the authors examine these key issues by using density functional theory calculations to study CO and CN formations over the 4d metals. The calculations reveal that the chemistries differ in a fundamental way. In the case of CO formation, the reaction enthalpies span a much greater range than those of CN formation. Moreover, CO formation is found to be kinetically sensitive to the metal; here the reaction barriers (E-a) are found to be influenced by the reaction enthalpy. CN formation, conversely, is found to be relatively kinetically insensitive to the metal, and there is no correlation found between the reaction barriers and the reaction enthalpy. Analysis has shown that at the final adsorbed state, the interaction between N and the surface is relatively greater than that of O. Furthermore, in comparison with O, relatively less bonding between the surface and N is observed to be lost during transition state formation. These greater interactions between N and the surface, which can be related to the larger valency of N, are found to be responsible for the relatively smaller enthalpy range and limited variation in E-a for CN formation. (C) 2007 American Institute of Physics.

The dissociation of molecularly adsorbed CO and CN over the 4d transition metals: A universal relationship between the reaction barriers and the reaction enthalpies

Density functional theory calculations are used to study the stability of molecularly adsorbed CO and CN over transition metal surfaces. The minimum energy reaction pathways, corresponding reaction barriers (E-a), and reaction enthalpies (Delta H) for the dissociation of CO and CN to atomic products over the 4d transition metals from Zr to Pd have been determined. CO is found to be the more stable adsorbate on the right hand side of the period (from Tc onwards), whereas CN is the more stable surface species on the early metals (Zr, Nb and Mo). A single linear relationship is found to exist that correlates the barriers of both reactions with their respective reaction enthalpies. (c) 2006 Elsevier B.V. All rights reserved.

Importance of electronegativity differences and surface structure in molecular dissociation reactions at transition metal surfaces

The dissociative adsorption of N-2 has been studied at both monatomic steps and flat regions on the surfaces of the 4d transition metals from Zr to Pd. Using density functional theory (DFT) calculations, we have determined and analyzed the trends in both straight reactivity and structure sensitivity across the periodic table. With regards to reactivity, we find that the trend in activation energy (Ea) is determined mainly by a charge transfer from the surface metal atoms to the N atoms during transition state formation, namely, the degree of ionicity of the N-surface bond at the transition state. Indeed, we find that the strength of the metal-N bond at the transition state (and therefore the trend in Ea) can be predicted by the difference in Mulliken electronegativity between the metal and N. Structure sensitivity is analyzed in terms of geometric and electronic effects. We find that the lowering of Ea due to steps is more pronounced on the right-hand side of the periodic table. It is found that for the early transition metals the geometric and electronic effects work in opposition when going from terrace to step active site. In the case of the late 4d metals, however, these effects work in combination, producing a more marked reduction in Ea.

Reactivity of the 4d transition metals toward N hydrogenation and NH dissociation: A DFT-based HSAB analysis

The density functional theory (DFT) based hard-soft acid-base (HSAB) reactivity indices, including the electrophilicity index, have been successfully applied to many areas of molecular chemistry. In this work we test the applicability of such an approach to fundamental surface chemistry. We have considered, as prototypical surface reactions, both the hydrogenation of atomic nitrogen and the dissociative adsorption of the NH molecular radical. By use of a DFT methodology, the minimum energy reaction pathways, and corresponding reaction barriers, of the above reactions over Zr(001), Nb(110), Mo(110), Tc(001), Ru(001), Rh(111), and Pd(111) have been determined. By consideration of the chemical potential and chemical hardness of the surface metal atoms, and the principle of electronegativity equalization, it is found that the charge transferred to the NH radical during the process of dissociative adsorption correlates very well with that determined by Mulliken population analysis. Furthermore, it is found that the stability of the NH/surface transition state complex relates directly to this charge transfer and that the trend in transition state stability predicted by a HSAB; treatment correlates very strongly with that determined by DFT calculations. With regards to N hydrogenation, we find that during the course of the reaction, H loses cohesion to the surface, as it must migrate from a 3-fold hollow site to either a bridge or top site, to react with N. Partial density of states (PDOS) and Mulliken population analysis reveal that this loss of bonding is accompanied by charge transfer from H to the surface metal atoms. Moreover, by simple modeling, we show that the reaction barriers are directly proportional to this mandatory charge transfer. Indeed, it is found that the reaction barriers correlate very well with the electrophilicity index of the metal atoms.

A density functional theory study of sulfur poisoning

Density functional theory calculations have been used to investigate the chemisorption of H, S, SH, and H2S as well as the hydrogenation reactions S+H and SH+H on a Rh surface with steps, Rh(211), aiming to explain sulfur poisoning effect. In the S hydrogenation from S to H2S, the transition state of the first step S+H-->SH is reached when the S moves to the step-bridge and H is on the off-top site. In the second step, SH+H-->H2S, the transition state is reached when SH moves to the top site and H is close to another top site nearby. Our results show that it is difficult to hydrogenate S and they poison defects such as steps. In order to address why S is poisoning, hydrogenation of C, N, and O on Rh(211) has also been calculated and has been found that the reverse and forward reactions possess similar barriers in contrast to the S hydrogenation. The physical origin of these differences has been analyzed and discussed. (C) 2005 American Institute of Physics.

A density functional theory study on the water formation at high coverages and the water effect in the Fischer-Tropsch synthesis

The O removal through water formation is an important process in the Fischer-Tropsch synthesis. In this study, both steps in water formation (O + H --> OH, OH + H --> H2O) are studied on the stepped Co(0001) at high coverages using density functional theory. We find the following. (i) In both O-O and O-OH co-adsorption systems, two transition states (TSs) were located for the O hydrogenation: in one TS, both O and H are on the same terrace, and in the other they are at the interface between the step edge and the terrace below. (ii) In both the O-O and O-OH co-adsorption systems, the O hydrogenation at the interface is easier (E-a = 0.32 eV in the O-O system, E-a = 1.10 eV in the O-OH system) than that on the same terrace (E-a = 1.49 eV in the O-O system, E-a = 1.80 eV in the O-OH system). (iii) In both the O-O and O-OH co-adsorption systems, only one TS for the OH hydrogenation was located, in which both OH and H are on the same terrace. (iv) Compared to the OH hydrogenation in the O-OH system (E-a = 1.46 eV), the reaction in the OH-OH system (E-a = 0.64 eV) is much easier. The barrier differences and the water effect on the Fischer-Tropsch synthesis are discussed. A possible route with low barriers for water formation is proposed.

The mechanism of N2O formation via the (NO)(2) dimer: A density functional theory study

Catalytic formation of N2O via a (NO)(2) intermediate was studied employing density functional theory with generalized gradient approximations. Dimer formation was not favored on Pt(111), in agreement with previous reports. On Pt(211) a variety of dimer structures were studied, including trans-(NO)(2) and cis-(NO)(2) configurations. A possible pathway involving (NO)(2) formation at the terrace near to a Pt step is identified as the possible mechanism for low-temperature N2O formation. The dimer is stabilized by bond formation between one O atom of the dimer and two Pt step atoms. The overall mechanism has a low barrier of approximately 0.32 eV. The mechanism is also put into the context of the overall NO+H-2 reaction. A consideration of the step-wise hydrogenation of O-(ads) from the step is also presented. Removal of O-(ads) from the step is significantly different from O-(ads) hydrogenation on Pt(111). The energetically favored structure at the transition state for OH(ads) formation has an activation energy of 0.63 eV. Further hydrogenation of OH(ads) has an activation energy of 0.80 eV. (C) 2004 American Institute of Physics.

Insight into association reactions on metal surfaces: Density-functional theory studies of hydrogenation reactions on Rh(111)

Hydrogenation reaction, as one of the simplest association reactions on surfaces, is of great importance both scientifically and technologically. They are essential steps in many industrial processes in heterogeneous catalysis, such as ammonia synthesis (N-2+3H(2)-->2NH(3)). Many issues in hydrogenation reactions remain largely elusive. In this work, the NHx (x=0,1,2) hydrogenation reactions (N+H-->NH, NH+H-->NH2 and NH2+H-->NH3) on Rh(111) are used as a model system to study the hydrogenation reactions on metal surfaces in general using density-functional theory. In addition, C and O hydrogenation (C+H-->CH and O+H-->OH) and several oxygenation reactions, i.e., C+O, N+O, O+O reactions, are also calculated in order to provide a further understanding of the barrier of association reactions. The reaction pathways and the barriers of all these reactions are determined and reported. For the C, N, NH, and O hydrogenation reactions, it is found that there is a linear relationship between the barrier and the valency of R (R=C, N, NH, and O). Detailed analyses are carried out to rationalize the barriers of the reactions, which shows that: (i) The interaction energy between two reactants in the transition state plays an important role in determining the trend in the barriers; (ii) there are two major components in the interaction energy: The bonding competition and the direct Pauli repulsion; and (iii) the Pauli repulsion effect is responsible for the linear valency-barrier trend in the C, N, NH, and O hydrogenation reactions. For the NH2+H reaction, which is different from other hydrogenation reactions studied, the energy cost of the NH2 activation from the IS to the TS is the main part of the barrier. The potential energy surface of the NH2 on metal surfaces is thus crucial to the barrier of NH2+H reaction. Three important factors that can affect the barrier of association reactions are generalized: (i) The bonding competition effect; (ii) the local charge densities of the reactants along the reaction direction; and (iii) the potential energy surface of the reactants on the surface. The lowest energy pathway for a surface association reaction should correspond to the one with the best compromise of these three factors. (C) 2003 American Institute of Physics.