On the relevance of modeling volatility for pricing purposes

This paper presents a two-factor (Vasicek-CIR) model of the term structure of interest rates and develops its pricing and empirical properties. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread. Assuming a certain process for both factors, a general bond pricing equation is derived and a closed-form expression for bond prices is obtained. Empirical evidence of the model's performance in comparisson with a double Vasicek model is presented. The main conclusion is that the modeling of the volatility in the long-term rate process can help (in a large amount) to fit the observed data can improve - in a reasonable quantity - the prediction of the future movements in the medium- and long-term interest rates. However, for shorter maturities, it is shown that the pricing errors are, basically, negligible and it is not so clear which is the best model to be used.

Tracking the invisible hand: Convergence of double auctions to competitive equilibrium

Economics is the science of want and scarcity. We show that want andscarcity, operating within a simple exchange institution (double auction),are sufficient for an economy consisting of multiple inter--related marketsto attain competitive equilibrium (CE). We generalize Gode and Sunder's(1993a, 1993b) single--market finding to multi--market economies, andexplore the role of the scarcity constraint in convergence of economies to CE.When the scarcity constraint is relaxed by allowing arbitrageurs in multiple markets to enter speculative trades, prices still converge to CE,but allocative efficiency of the economy drops. \\Optimization by individual agents, often used to derive competitive equilibria,are unnecessary for an actual economy to approximately attain such equilibria.From the failure of humans to optimize in complex tasks, one need not concludethat the equilibria derived from the competitive model are descriptivelyirrelevant. We show that even in complex economic systems, such equilibriacan be attained under a range of surprisingly weak assumptions about agentbehavior.

Systematic study of the static electrical properties of the CO molecule: influence of the basis set size and correlation energy

The influence of the basis set size and the correlation energy in the static electrical properties of the CO molecule is assessed. In particular, we have studied both the nuclear relaxation and the vibrational contributions to the static molecular electrical properties, the vibrational Stark effect (VSE) and the vibrational intensity effect (VIE). From a mathematical point of view, when a static and uniform electric field is applied to a molecule, the energy of this system can be expressed in terms of a double power series with respect to the bond length and to the field strength. From the power series expansion of the potential energy, field-dependent expressions for the equilibrium geometry, for the potential energy and for the force constant are obtained. The nuclear relaxation and vibrational contributions to the molecular electrical properties are analyzed in terms of the derivatives of the electronic molecular properties. In general, the results presented show that accurate inclusion of the correlation energy and large basis sets are needed to calculate the molecular electrical properties and their derivatives with respect to either nuclear displacements or/and field strength. With respect to experimental data, the calculated power series coefficients are overestimated by the SCF, CISD, and QCISD methods. On the contrary, perturbation methods (MP2 and MP4) tend to underestimate them. In average and using the 6-311 + G(3df) basis set and for the CO molecule, the nuclear relaxation and the vibrational contributions to the molecular electrical properties amount to 11.7%, 3.3%, and 69.7% of the purely electronic μ, α, and β values, respectively

Homotopy Batalin-Vilkovisky algebras

This paper provides an explicit cofibrant resolution of the operad encoding Batalin-Vilkovisky algebras. Thus it defines the notion of homotopy Batalin-Vilkovisky algebras with the required homotopy properties. To define this resolution we extend the theory of Koszul duality to operads and properads that are defind by quadratic and linear relations. The operad encoding Batalin-Vilkovisky algebras is shown to be Koszul in this sense. This allows us to prove a Poincare-Birkhoff-Witt Theorem for such an operad and to give an explicit small quasi-free resolution for it. This particular resolution enables us to describe the deformation theory and homotopy theory of BV-algebras and of homotopy BV-algebras. We show that any topological conformal field theory carries a homotopy BV-algebra structure which lifts the BV-algebra structure on homology. The same result is proved for the singular chain complex of the double loop space of a topological space endowed with an action of the circle. We also prove the cyclic Deligne conjecture with this cofibrant resolution of the operad BV. We develop the general obstruction theory for algebras over the Koszul resolution of a properad and apply it to extend a conjecture of Lian-Zuckerman, showing that certain vertex algebras have an explicit homotopy BV-algebra structure.

Seasonality and cyclic tendency of mortality in a Pyrenean population

Las características de la mortalidad Influyen decisivamente en la estructura demográfica de las poblaciones, regida por diferentes factores: internos (rasgos específicos genéticos y culturales), externos (características del ecosistema) e intermedios (capacidad de la población de autoajustarse al ambiente). El estudio de la distribución estacional de las 3313 defunciones registradas en la Villa de El Pont de Suert (Alta Ribagorça, Cataluña) desde 1664 evidencia la importancia de todos estos factores. Los patrones de distribución muestran el Influjo de las condiciones climáticas, de los ambientes epidemiológicos, así como de las transformaciones socioeconómicas y demográficas. El modelo de tendencia cíclica en la mortalidad, común a muchas poblaciones ibéricas de montaña, no se evidencia en esta población.

Modificación del programa Bond-Scand de M.E. Pippy y F.R. Ahamed

Se presenta una modificación del programa Bond-Scand, con vistas a su empleo en ordenadores de reducida capacidad de memoria. Can dicha modificación se pasa de una capacidad de 100 K a 81 K, pudiendo ser ejecutada en el ordenador IBM 360/30 de que dispone la Facultad de Ciencias de la Universidad de Barcelona.

Barrier for the reaction X20+ + X20+ -> X402+ in alkali-metal clusters related to electron density at the bond midpoint of the supermolecule (X20+)2

Using the extended Thomas-Fermi version of density-functional theory (DFT), calculations are presented for the barrier for the reaction Na20++Na20+¿Na402+. The deviation from the simple Coulomb barrier is shown to be proportional to the electron density at the bond midpoint of the supermolecule (Na20+)2. An extension of conventional quantum-chemical studies of homonuclear diatomic molecular ions is then effected to apply to the supermolecular ions of the alkali metals. This then allows the Na results to be utilized to make semiquantitative predictions of position and height of the maximum of the fusion barrier for other alkali clusters. These predictions are confirmed by means of similar DFT calculations for the K clusters.

Avalanches in a fluctuationless first-order phase transition in a random-bond Ising model

We study the behavior of the random-bond Ising model at zero temperature by numerical simulations for a variable amount of disorder. The model is an example of systems exhibiting a fluctuationless first-order phase transition similar to some field-induced phase transitions in ferromagnetic systems and the martensitic phase transition appearing in a number of metallic alloys. We focus on the study of the hysteresis cycles appearing when the external field is swept from positive to negative values. By using a finite-size scaling hypothesis, we analyze the disorder-induced phase transition between the phase exhibiting a discontinuity in the hysteresis cycle and the phase with the continuous hysteresis cycle. Critical exponents characterizing the transition are obtained. We also analyze the size and duration distributions of the magnetization jumps (avalanches).

Continuum Double Exchange Model

We present a continuum model for doped manganites which consist of two species of quantum spin-1 / 2 fermions interacting with classical spin fields. The phase structure at zero temperature turns out to be considerably rich: antiferromagnetic insulator, antiferromagnetic two band conducting, canted two band conducting, canted one band conducting, and ferromagnetic one band conducting phases are identified, all of them being stable against phase separation. There are also regions in the phase diagram where phase separation occurs

Low energy excitations of double quantum dots in the lowest Landau level regime

We study the spectrum and magnetic properties of double quantum dots in the lowest Landau level for different values of the hopping and Zeeman parameters by means of exact diagonalization techniques in systems of N=6 and 7 electrons and a filling factor close to 2. We compare our results with those obtained in double quantum layers and single quantum dots. The Kohn theorem is also discussed.

Electronic structure of few-electron concentric double quantum rings

The ground state structure of few-electron concentric double quantum rings is investigated within the local spin density approximation. Signatures of inter-ring coupling in the addition energy spectrum are identified and discussed. We show that the electronic configurations in these structures can be greatly modulated by the inter-ring distance: At short and long distances the low-lying electron states localize in the inner and outer rings, respectively, and the energy structure is essentially that of an isolated single quantum ring. However, at intermediate distances the electron states localized in the inner and the outer ring become quasidegenerate and a rather entangled, strongly-correlated system is formed.

Vertically coupled double quantum rings at zero magnetic field

Within local-spin-density functional theory, we have investigated the ¿dissociation¿ of few-electron circular vertical semiconductor double quantum ring artificial molecules at zero magnetic field as a function of interring distance. In a first step, the molecules are constituted by two identical quantum rings. When the rings are quantum mechanically strongly coupled, the electronic states are substantially delocalized, and the addition energy spectra of the artificial molecule resemble those of a single quantum ring in the few-electron limit. When the rings are quantum mechanically weakly coupled, the electronic states in the molecule are substantially localized in one ring or the other, although the rings can be electrostatically coupled. The effect of a slight mismatch introduced in the molecules from nominally identical quantum wells, or from changes in the inner radius of the constituent rings, induces localization by offsetting the energy levels in the quantum rings. This plays a crucial role in the appearance of the addition spectra as a function of coupling strength particularly in the weak coupling limit.

Optical response of two-dimensional few-electron concentric double quantum rings: A local-spin-density-functional theory study

We have investigated the dipole charge- and spin-density response of few-electron two-dimensional concentric nanorings as a function of the intensity of a erpendicularly applied magnetic field. We show that the dipole response displays signatures associated with the localization of electron states in the inner and outer ring favored by the perpendicularly applied magnetic field. Electron localization produces a more fragmented spectrum due to the appearance of additional edge excitations in the inner and outer ring.