Speculative dynamics in the term structure of interest rates

When long maturity bonds are traded frequently and traders have non-nestedinformation sets, speculative behavior in the sense of Harrison and Kreps (1978) arises.Using a term structure model displaying such speculative behavior, this paper proposesa conceptually and observationally distinct new mechanism generating time varying predictableexcess returns. It is demonstrated that (i) dispersion of expectations about futureshort rates is sufficient for individual traders to systematically predict excess returns and(ii) the new term structure dynamics driven by speculative trade is orthogonal to publicinformation in real time, but (iii) can nevertheless be quantified using only publicly availableyield data. The model is estimated using monthly data on US short to medium termTreasuries from 1964 to 2007 and it provides a good fit of the data. Speculative dynamicsare found to be quantitatively important, potentially accounting for a substantial fractionof the variation of bond yields and appears to be more important at long maturities.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

Optimum Redundant Array Configurations for Earth Observation Aperture Synthesis Microwave Radiometers

Two-dimensional aperture synthesis radiometry is the technologyselected for ESA's SMOS mission to provide high resolution L-bandradiometric imagery. The array topology is a Y-shaped structure. Theposition and number of redundant elements to minimise instrumentdegradation in case of element failure(s) are studied.

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Direct modulation of electroluminescence from silicon nanocrystals beyond radiative recombination rates

We propose a light emitting transistor based on silicon nanocrystals provided with 200 Mbits/ s built-in modulation. Suppression of electroluminescence from silicon nanocrystals embedded into the gate oxide of a field effect transistor is achieved by fast Auger quenching. In this process, a modulating drain signal causes heating of carriers in the channel and facilitates the charge injection into the nanocrystals. This excess of charge enables fast nonradiative processes that are used to obtain 100% modulation depths at modulating voltages of 1 V.

A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot.The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Synthesis, structure, and magnetic studies on self-assembled BiFeO3-CoFe2O4 nanocomposite thin films

Self-assembled (0.65)BiFeO3-(0.35)CoFe2O4 (BFO-CFO) nanostructures were deposited on SrTiO3 (001) and (111) substrates by pulsed laser deposition at various temperatures from 500 to 800°C. The crystal phases and the lattice strain for the two different substrate orientations have been determined and compared. The films grow epitaxial on both substrates but separation of the spinel and perovskite crystallites, without parasitic phases, is only obtained for growth temperatures of around 600-650°C. The BFO crystallites are out-of-plane expanded on STO(001), whereas they are almost relaxed on (111). In contrast, CFO crystallites grow out-of-plane compressed on both substrates. The asymmetric behavior of the cell parameters of CFO and BFO is discussed on the basis of the role of the epitaxial stress caused by the substrate and the spinel-perovskite interfacial stress. It is concluded that interfacial stress dominates the elastic properties of CFO crystallites and thus it may play a fundamental on the interface magnetoelectric coupling in these nanocomposites.

Synthesis, structural order and magnetic behavior of self-assembled epsilon-Co nanocrystal arrays

The synthesis of magnetic nanoparticles with monodispere size distributions, their self assembly into ordered arrays and their magnetic behavior as a function of structural order (ferrofluids and 2D assemblies) are presented. Magnetic colloids of monodispersed, passivated, cobalt nanocrystals were produced by the rapid pyrolysis of cobalt carbonyl in solution. The size, size distribution (std. dev.< 5%) and the shape of the nanocrystals were controlled by varying the surfactant, its concentration, the reaction rate and the reaction temperature. The Co particles are defect-free single crystals with a complex cubic structure related to the beta phase of manganese (epsilon-Co). In the 2D assembly, a collective behavior was observed in the low-field susceptibility measurements where the magnetization of the zero field cooled process increases steadily and the magnetization of the field cooling process is independent the temperature. This was different from the observed behavior in a sample comprised of disordered interacting particles. A strong paramagnetic contribution appears at very low temperatures where the magnetization increases drastically after field cooling the sample. This has been attributed to the Co surfactant-particle interface since no magnetic atomic impurities are present in these samples.

Synthesis of sodium-zinc spinel ferrites

The synthesis of spinel ferrites with composition Zn1-2xNaxFe2+xO4has been performed and the composition range in which single phase samples are obtained has been defined. The characterization of the samples has been carried out from atomic absorption and X-ray fluorescence analyses, X-ray diffraction patterns, Mössbauer spectroscopy and thermomagnetic measurements. It is show that significant loss of Na does exist when the synthesis is performed at high temperatures. When the Na volatilization is avoided spinel oxides with Na content up to 0.25 atoms per unit formula can be obtained. In this case the increase of the interatomic distances leads to differing fundamental magnetic properties as compared to the equivalent lithium-zinc ferrites.