An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options

Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two faetors that are not significant1y outperformed by any of the other four models. Further rankings are possible if additional cri teria are applied.

Short-term temporal changes of bare soil CO2 fluxes after tillage described by first-order decay models

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Nonlinear two-field models from orbit equation deformations

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

First-order decay models to describe soil C-CO2 Loss after rotary tillage

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Wind-wave amplification mechanisms: possible models for steep wave events in finite depth

We extend the Miles mechanism of wind-wave generation to finite depth. A beta-Miles linear growth rate depending on the depth and wind velocity is derived and allows the study of linear growth rates of surface waves from weak to moderate winds in finite depth h. The evolution of beta is plotted, for several values of the dispersion parameter kh with k the wave number. For constant depths we find that no matter what the values of wind velocities are, at small enough wave age the beta-Miles linear growth rates are in the known deep-water limit. However winds of moderate intensities prevent the waves from growing beyond a critical wave age, which is also constrained by the water depth and is less than the wave age limit of deep water. Depending on wave age and wind velocity, the Jeffreys and Miles mechanisms are compared to determine which of them dominates. A wind-forced nonlinear Schrodinger equation is derived and the Akhmediev, Peregrine and Kuznetsov-Ma breather solutions for weak wind inputs in finite depth h are obtained.

Helium isotope ratios and sedimentation rate models of ODP holes

A continuous age model for the brief climate excursion at the Paleocene-Eocene boundary has been constructed by assuming a constant flux of extraterrestrial 3He (3He[ET]) to the seafloor. 3He[ET] measurements from ODP Site 690 provide quantitative evidence for the rapid onset (models indicating extremely rapid release of isotopically light carbon, possibly from seafloor methane hydrate, as the proximal cause of the event. However, the 3He[ET] technique indicates a previously unrecognized and extreme increase in sedimentation rate coincident with the return of climate proxies to pre-event values. The 3He[ET]-based age model thus suggests a far more rapid recovery from the climatic perturbation than previously proposed or predicted on the basis of the modern carbon cycle, and so may indicate additional or accelerated mechanisms of carbon removal from the ocean-atmosphere system during this period. 3He[ET] was also measured at ODP Site 1051 to test the validity of the Site 690 chronology. Comparison of these data sets seems to require removal of several tens of kyr of sediment within the climatic excursion at Site 1051, an observation consistent with sediment structures and previous age modeling efforts. The Site 1051 age model shows a ~30 kyr period in which climate proxies return toward pre-event values, after which they remain invariant for ~80 kyr. If this rise represents the recovery interval identified at Site 690, then the 3HeET-based age models of the two sites are in good agreement. However, alternative interpretations are possible, and work on less disrupted sites is required to evaluate the reliability of the proposed new chronology of the climate excursion. Regardless of these details, this work shows that the 3HeET technique can provide useful independent evidence for the development and testing of astronomically calibrated age models.

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Generalized Perk-Schultz models: solutions of the Yang-Baxter equation associated with quantized orthosymplectic superalgebras

The Perk-Schultz model may be expressed in terms of the solution of the Yang-Baxter equation associated with the fundamental representation of the untwisted affine extension of the general linear quantum superalgebra U-q (gl(m/n)], with a multiparametric coproduct action as given by Reshetikhin. Here, we present analogous explicit expressions for solutions of the Yang-Baxter equation associated with the fundamental representations of the twisted and untwisted affine extensions of the orthosymplectic quantum superalgebras U-q[osp(m/n)]. In this manner, we obtain generalizations of the Perk-Schultz model.

Time scale analysis for fluidizedbedmeltgranulation-II: binder spreading rate

The spreading time of liquid binder droplet on the surface a primary particle is analyzed for Fluidized Bed Melt Granulation (FBMG). As discussed in the first paper of this series (Chua et al., in press) the droplet spreading rate has been identified as one of the important parameters affecting the probability of particles aggregation in FBMG. In this paper, the binder droplet spreading time has been estimated using Computational Fluid Dynamic modeling (CFD) based on Volume of Fluid approach (VOF). A simplified analytical solution has been developed and tested to explore its validity for predicting the spreading time. For the purpose of models validation, the droplet spreading evolution was recorded using a high speed video camera. Based on the validated model, a generalized correlative equation for binder spreading time is proposed. For the operating conditions considered here, the spreading time for Polyethylene Glycol (PEG1500) binder was found to fall within the range of 10-2 to 10-5 s. The study also included a number of other common binders used in FBMG. The results obtained here will be further used in paper III, where the binder solidification rate is discussed.