On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

An EM-based Semi-Parametric Mixture Model Approach to the Regression Analysis of Competing-Risks Data

We consider a mixture model approach to the regression analysis of competing-risks data. Attention is focused on inference concerning the effects of factors on both the probability of occurrence and the hazard rate conditional on each of the failure types. These two quantities are specified in the mixture model using the logistic model and the proportional hazards model, respectively. We propose a semi-parametric mixture method to estimate the logistic and regression coefficients jointly, whereby the component-baseline hazard functions are completely unspecified. Estimation is based on maximum likelihood on the basis of the full likelihood, implemented via an expectation-conditional maximization (ECM) algorithm. Simulation studies are performed to compare the performance of the proposed semi-parametric method with a fully parametric mixture approach. The results show that when the component-baseline hazard is monotonic increasing, the semi-parametric and fully parametric mixture approaches are comparable for mildly and moderately censored samples. When the component-baseline hazard is not monotonic increasing, the semi-parametric method consistently provides less biased estimates than a fully parametric approach and is comparable in efficiency in the estimation of the parameters for all levels of censoring. The methods are illustrated using a real data set of prostate cancer patients treated with different dosages of the drug diethylstilbestrol. Copyright (C) 2003 John Wiley Sons, Ltd.

The modeling of turbulent reactive flows based on multiple mapping conditioning

A new modeling approach-multiple mapping conditioning (MMC)-is introduced to treat mixing and reaction in turbulent flows. The model combines the advantages of the probability density function and the conditional moment closure methods and is based on a certain generalization of the mapping closure concept. An equivalent stochastic formulation of the MMC model is given. The validity of the closuring hypothesis of the model is demonstrated by a comparison with direct numerical simulation results for the three-stream mixing problem. (C) 2003 American Institute of Physics.

Photon-added detection

The production of conditional quantum states and quantum operations based on the result of measurement is now seen as a key tool in quantum information and metrology. We propose a different type of photon number detector. It functions nondeterministically, but when successful, it has high fidelity. The detector, which makes use of an n-photon auxiliary Fock state and high efficiency homodyne detection, allows a tunable trade-off between fidelity and probability. By sacrificing probability of operation, an excellent approximation to a photon-number detector is achieved.

Optical experiments beyond the quantum limit: Squeezing entanglement and teleportation

Results of experiments recently performed are reported, in which two optical parametric amplifiers were set up to generate two independently quadrature squeezed continuous wave laser beams. The transformation of quadrature squeezed states into polarization squeezed states and into states with spatial quantum correlations is demonstrated. By utilizing two squeezed laser beams, a polarization squeezed state exhibiting three simultaneously squeezed Stokes operator variances was generated. Continuous variable polarization entanglement was generated and the Einstein-Podolsky-Rosen paradox was observed. A pair of Stokes operators satisfied both the inseparability criterion and the conditional variance criterion. Values of 0.49 and 0.77, respectively, were observed, with entanglement requiring values below unity. The inseparability measure of the observed quadrature entanglement was 0.44. This value is sufficient for a demonstration of quantum teleportation, which is the next experimental goal of the authors.