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  • Electronic Resource  (4)
  • 2000-2004  (4)
  • 1925-1929
  • 1920-1924
  • 2001  (4)
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
  • PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements  (2)
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  • Electronic Resource  (4)
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  • 2000-2004  (4)
  • 1925-1929
  • 1920-1924
Year
  • 2001  (4)
Keywords
  • 1
    Electronic Resource
    Electronic Resource
    Beliefs and stochastic modelling of interest rate scenario risk (2001)
    Springer
    The European physical journal 20 (2001), S. 511-515 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/PL00011107
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Extracting factors for interest rate scenarios (2001)
    Springer
    The European physical journal 20 (2001), S. 517-522 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/
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    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Design study of 3-D tomography diagnostics for spherical tokamaks (2001)
    Springer
    The European physical journal 14 (2001), S. 97-103 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: A novel three-dimensional (3-D) tomography software has been developed for spherical tokamak (ST) plasmas with thin central coils. It enables us to measure whole 3-D annular profiles of ST plasma emissivity (line spectrum etc.) using limited number of detectors located on a sphere outside of its separatrix. The numbers and positions of detectors have been optimized for STs that contain low-n toroidal modes from n = 1 to 5. Mathematical method allowing for the removal of the thin central coil from the region of reconstruction and to reconstruct STs with single and double axes are also discussed. The shadow effect of center coil region was found to limit the reconstruction accuracy, indicating that the low-aspect ratio torus (ST) is essential to this new 3-D tomography diagnostics.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170240
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Tomographic determination of plasma velocity with the use of ion Doppler spectroscopy (2001)
    Springer
    The European physical journal 17 (2001), S. 337-344 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: An inversion method for ion Doppler shift of spectrum lines was developed for plasma velocity measurements. By reducing the problem to the vectorial Radon transform, the characteristics of plasma ion velocity distribution such as vector potential/vorticity and velocity components were computed in two-dimensional space. Computer simulation of the reconstruction of different vector potential (vector field) models gives evidence that the reconstruction errors are acceptable, and the method can surely be used for real experimental data.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170008
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    Paper (German National Licenses)
    Fulltext
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