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1

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Beliefs and stochastic modelling of interest rate scenario risk (2001)

Galic, E. ; Molgedey, L.

Springer

The European physical journal 20 (2001), S. 511-515

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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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2

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Extracting factors for interest rate scenarios (2001)

Molgedey, L. ; Galic, E.

Springer

The European physical journal 20 (2001), S. 517-522

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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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3

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Subleading long-range interactions and violations of finite size scaling (2001)

Dantchev, D. ; Rudnick, J.

Springer

The European physical journal 21 (2001), S. 251-268

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ISSN: 1434-6036

Keywords: PACS. 64.60.-i General studies of phase transitions – 64.60.Fr Equilibrium properties near critical points, critical exponents – 75.40.-s Critical-point effects, specific heats, short-range order

Source: Springer Online Journal Archives 1860-2000

Topics: Physics

Notes: Abstract: We study the behavior of systems in which the interaction contains a long-range component that does not dominate the critical behavior. Such a component is exemplified by the van der Waals force between molecules in a simple liquid-vapor system. In the context of the mean spherical model with periodic boundary conditions we are able to identify, for temperatures close above T c, finite-size contributions due to the subleading term in the interaction that are dominant in this region decaying algebraically as a function of L. This mechanism goes beyond the standard formulation of the finite-size scaling but is to be expected in real physical systems. We also discuss other ways in which critical point behavior is modified that are of relevance for analysis of Monte Carlo simulations of such systems.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/s100510170201

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4

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Two-point correlation function in systems with van der Waals type interaction (2001)

Dantchev, D.

Springer

The European physical journal 23 (2001), S. 211-219

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ISSN: 1434-6036

Keywords: PACS. 64.60.-i General studies of phase transitions – 64.60.Fr Equilibrium properties near critical points, critical exponents – 75.40.-s Critical-point effects, specific heats, short-range order

Source: Springer Online Journal Archives 1860-2000

Topics: Physics

Notes: Abstract: The behavior of the bulk two-point correlation function G( ;T| d ) in d-dimensional system with van der Waals type interactions is investigated and its consequences on the finite-size scaling properties of the susceptibility in such finite systems with periodic boundary conditions is discussed within mean-spherical model which is an example of Ornstein and Zernike type theory. The interaction is supposed to decay at large distances r as r - (d + σ), with 2 〈 d 〈 4, 2 〈 σ 〈 4 and d + σ≤6. It is shown that G( ;T| d ) decays as r - (d - 2) for 1 ≪r≪ξ, exponentially for ξ≪r≪r *, where r * = (σ - 2)ξlnξ, and again in a power law as r - (d + σ) for r≫r *. The analytical form of the leading-order scaling function of G( ;T| d ) in any of these regimes is derived.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/s100510170070

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5

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Masthead (1893)

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893)

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080301

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6

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The structure and development of the axillary gland of batrachus (1893)

Wallace, Louise B.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 563-568

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080304

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7

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A contribution to the physiology of coloration in animals (1893)

Loeb, Jacques

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 161-164

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080103

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8

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Biological changes in the spleen of the frog (1893)

Gaule, Alice Leonard

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 393-414

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 9 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080206

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9

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The auditory of hair-cells of the ear and their relations to the auditory nerve (1893)

Ayers, Howard

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 445-466

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080302

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10

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Amphioxus, and the mosaic theory of development (1893)

Wilson, Edmund B.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 579-638

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080306

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11

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The structure of the lung (1893)

Miller, W. S.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 165-188

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080104

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12

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The habits and development of the newt (Diemyctylus viridescens) (1893)

Jordan, Edwin O.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 269-366

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080203

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13

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Histogenesis of the retina in Amblystoma and Necturus (1893)

Mall, F.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 415-432

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 12 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080207

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14

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A contribution to the morphology and biology of the Stentors (1893)

Johnson, Herbert P.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 467-562

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 3 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080303

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15

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The inadequacy of the cell-theory of development.Read Aug. 31, at the Zoölogical Congress of the World's Columbian Exposition. (1893)

Whitman, C. O.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 639-658

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 3 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080307

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16

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A contribution to insect embryology (1893)

Wheeler, William Morton

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 1-161

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 7 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080102

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17

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Masthead (1893)

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893)

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080201

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18

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Some nerve-muscle experiments on the frog (Rana Catesbiana).Performed in the Physiological Laboratory of the Harvard Medical School, 1888-89. (1893)

Ayers, Howard

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 379-392

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080205

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19

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The embryology of limulus. - part II (1893)

Kingsley, J. S.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 195-268

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080202

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20

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Masthead (1893)

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893)

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080101

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21

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The development of the optic vesicles in amphibia (1893)

Eycleshymer, Albert C.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 189-193

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 5 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080105

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22

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The formation of the medullary groove and some other features of embryonic development, in the ElasmobranchsRead before the American Morphological Society at Princeton, New Jersey, December 28, 1892. (1893)

Locy, William A.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 367-378

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080204

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23

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Homology of the centrosome (1893)

Watasé, S.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 433-443

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 7 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080208

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24

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Preliminary account of the embryology of unio complanta (1893)

Lillie, F. R.

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. 569-578

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080305

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25

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Plates (1893)

New York, NY : Wiley-Blackwell

Journal of Morphology 8 (1893), S. i

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050080308

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