Bibliothek

X
feed icon rss

Ihre E-Mail wurde erfolgreich gesendet. Bitte prüfen Sie Ihren Maileingang.

Leider ist ein Fehler beim E-Mail-Versand aufgetreten. Bitte versuchen Sie es erneut.

Vorgang fortführen?

Exportieren
Filter
  • Artikel: DFG Deutsche Nationallizenzen  (4)
  • 2000-2004  (4)
  • 1960-1964
  • 1935-1939
  • 1920-1924
  • 2001  (4)
  • 1939
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
  • PACS. 75.10.Nr Spin-glass and other random models  (2)
Datenquelle
  • Artikel: DFG Deutsche Nationallizenzen  (4)
Materialart
Erscheinungszeitraum
  • 2000-2004  (4)
  • 1960-1964
  • 1935-1939
  • 1920-1924
Jahr
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    The Bethe lattice spin glass revisited (2001)
    Springer
    The European physical journal 20 (2001), S. 217-233 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 75.10.Nr Spin-glass and other random models
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: So far the problem of a spin glass on a Bethe lattice has been solved only at the replica symmetric level, which is wrong in the spin glass phase. Because of some technical difficulties, attempts at deriving a replica symmetry breaking solution have been confined to some perturbative regimes, high connectivity lattices or temperature close to the critical temperature. Using the cavity method, we propose a general non perturbative solution of the Bethe lattice spin glass problem at a level of approximation which is equivalent to a one step replica symmetry breaking solution. The results compare well with numerical simulations. The method can be used for many finite connectivity problems appearing in combinatorial optimization.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011099
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Artikel (Nationallizenzen)
    Volltext
  • 2
    Digitale Medien
    Digitale Medien
    Beliefs and stochastic modelling of interest rate scenario risk (2001)
    Springer
    The European physical journal 20 (2001), S. 511-515 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We present a framework that allows for a systematic assessment of risk given a specific model and belief on the market. Within this framework the time evolution of risk is modeled in a twofold way. On the one hand, risk is modeled by the time discrete and nonlinear garch(1,1) process, which allows for a (time-)local understanding of its level, together with a short term forecast. On the other hand, via a diffusion approximation, the time evolution of the probability density of risk is modeled by a Fokker-Planck equation. Then, as a final step, using Bayes theorem, beliefs are conditioned on the stationary probability density function as obtained from the Fokker-Planck equation. We believe this to be a highly rigorous framework to integrate subjective judgments of future market behavior and underlying models. In order to demonstrate the approach, we apply it to risk assessment of empirical interest rate scenario methodologies, i.e. the application of Principal Component Analysis to the the dynamics of bonds.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011107
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Artikel (Nationallizenzen)
    Volltext
  • 3
    Digitale Medien
    Digitale Medien
    Extracting factors for interest rate scenarios (2001)
    Springer
    The European physical journal 20 (2001), S. 517-522 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by a Principal Component Analysis (PCA) of historical bond prices (interest rates). Although PCA diagonalizes the covariance matrix of either the interest rates or the interest rate changes, it does not use both covariance matrices simultaneously. Furthermore higher linear and nonlinear correlations are neglected. These correlations as well as the mean reverting properties of the interest rates become crucial, if one is interested in a longer time horizon (infrequent hedging or trading). We will show that Independent Component Analysis (ICA) is a more appropriate tool than PCA, since ICA uses the covariance matrix of the interest rates as well as the covariance matrix of the interest rate changes simultaneously. Additionally higher linear and nonlinear correlations may be easily incorporated. The resulting factors are uncorrelated for various time delays, approximately independent but nonorthogonal. This is in contrast to the factors obtained from the PCA, which are orthogonal and uncorrelated for identical times only. Although factors from the ICA are nonorthogonal, it is sufficient to consider only a few factors in order to explain most of the variation in the original data. Finally we will present examples that ICA based hedges outperforms PCA based hedges specifically if the portfolio is sensitive to structural changes of the yield curve.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Artikel (Nationallizenzen)
    Volltext
  • 4
    Digitale Medien
    Digitale Medien
    The ± J spin glass in Migdal-Kadanoff approximation (2001)
    Springer
    The European physical journal 21 (2001), S. 589-594 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 75.10.Nr Spin-glass and other random models
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We study the low-temperature phase of the three-dimensional ± J Ising spin glass in Migdal-Kadanoff approximation. At zero temperature, T = 0, the properties of the spin glass result from the ground-state degeneracy and can be elucidated using scaling arguments based on entropy. The approach to the asymptotic scaling regime is very slow, and the correct exponents are only visible beyond system sizes around 64. At T 〉 0, a crossover from the zero-temperature behaviour to the behaviour expected from the droplet picture occurs at length scales proportional to T -2/ds where ds is the fractal dimension of a domain wall. Canonical droplet behaviour is not visible at any temperature for systems whose linear dimension is smaller than 16 lattice spacings, because the data are either affected by the zero-temperature behaviour or the critical point behaviour.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170169
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Artikel (Nationallizenzen)
    Volltext
Schließen ⊗
Diese Webseite nutzt Cookies und das Analyse-Tool Matomo. Weitere Informationen finden Sie hier...