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  • 2010-2014
  • 2000-2004  (8)
  • 1890-1899
  • 2001  (8)
  • 1898
  • 1892
  • 1890
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
  • PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes  (2)
  • PACS. 32.70.Cs Oscillator strengths, lifetimes, transition moments – 42.62.Fi Laser spectroscopy  (2)
  • PACS. 64.70.Pf Glass transitions – 05.70.Ln Nonequilibrium and irreversible thermodynamics  (2)
Source
Material
Years
  • 2010-2014
  • 2000-2004  (8)
  • 1890-1899
Year
  • 2001  (8)
  • 1898
  • 1892
  • 1890
  • 2003  (2)
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)
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  • 3
    Electronic Resource
    Electronic Resource
    Validity of the zero-thermodynamic law in off-equilibrium coupled harmonic oscillators (2001)
    Springer
    The European physical journal 20 (2001), S. 105-122 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 64.70.Pf Glass transitions – 05.70.Ln Nonequilibrium and irreversible thermodynamics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: In order to describe the thermodynamics of the glassy systems it has been recently introduced an extra parameter, the effective temperature which generalizes the fluctuation-dissipation theorem (FDT) to off-equilibrium systems and supposedly describes thermal fluctuations around the aging state. Using this concept we investigate the applicability of a zeroth thermodynamic law for non-equilibrium systems. In particular we study two coupled systems of harmonic oscillators with Monte Carlo dynamics. We analyze in detail two types of dynamics: 1) sequential dynamics where the coupling between the subsystems comes only from the Hamiltonian and 2) parallel dynamics where there is a further coupling between the subsystems arising from the dynamics. We show that the coupling described in the first case is not enough to make asymptotically the effective temperatures of the two interacting subsystems equalize, the reason being the too small thermal conductivity between them in the aging state. This explains why different interacting degrees of freedom in structural glasses may stay at different effective temperatures without never mutually thermalizing.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01313919
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Heat transfer and Fourier's law in off-equilibrium systems (2001)
    Springer
    The European physical journal 21 (2001), S. 115-120 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 64.70.Pf Glass transitions – 05.70.Ln Nonequilibrium and irreversible thermodynamics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We study the most suitable procedure to measure the effective temperature in off-equilibrium systems. We analyze the stationary current established between an off-equilibrium system and a thermometer and the necessary conditions for that current to vanish. We find that the thermometer must have a short characteristic time-scale compared to the typical decorrelation time of the glassy system to correctly measure the effective temperature. This general conclusion is confirmed analyzing an ensemble of harmonic oscillators with Monte Carlo dynamics as an illustrative example of a solvable model of a glass. We also find that the current defined allows to extend Fourier's law to the off-equilibrium regime by consistently defining effective transport coefficients. Our results for the oscillator model explain why thermal conductivities between thermalized and frozen degrees of freedom in structural glasses are extremely small.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01315082
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  • 5
    Electronic Resource
    Electronic Resource
    Lifetime measurements in Gd II and Gd III using time-resolved laser spectroscopy (2001)
    Springer
    The European physical journal 13 (2001), S. 301-304 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.70.Cs Oscillator strengths, lifetimes, transition moments – 42.62.Fi Laser spectroscopy
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: Natural radiative lifetimes of 20 levels (energy range between 29 000-35 000 cm-1) in Gd II and 5 levels (energy range between 43 000-49 000 cm-1) in Gd III have been measured using time-resolved laser-induced fluorescence in a laser-produced plasma.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170245
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    Paper (German National Licenses)
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  • 6
    Electronic Resource
    Electronic Resource
    Selective preparation of ground state wave-packets: a theoretical analysis of femtosecond pump-dump-probe experiments on the potassium dimer (2001)
    Springer
    The European physical journal 14 (2001), S. 167-172 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We present simulations on pump-dump-probe experiments performed on the potassium dimer. The interaction of two time-delayed laser pulses prepares vibrational wave packets in the electronic ground state. The quantum calculations reveal to what extent it is possible to prepare a ground state superposition of states with high versus low vibrational quantum numbers by changing the pump-dump delay time. It is shown that transient signals may exhibit interference effects which are due to characteristics of ground state wave-packets composed of two components showing different vibrational dynamics. In this way the signals are able to yield information about vibrational overtone motion.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170214
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    Paper (German National Licenses)
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  • 7
    Electronic Resource
    Electronic Resource
    Femtosecond pump-probe fluorescence signals from classical trajectories: comparison with wave-packet calculations (2001)
    Springer
    The European physical journal 15 (2001), S. 413-422 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: A classical approach to simulate femtosecond pump-probe experiments is presented and compared to the quantum mechanical treatment. We restrict the study to gas-phase systems using the I2 molecule as a numerical example. Thus, no relaxation processes are included. This allows for a direct comparison between purely quantum mechanical results and those obtained from classical trajectory calculations. The classical theory is derived from the phase-space representation of quantum mechanics. Various approximate quantum mechanical treatments are compared to their classical counterparts. Thereby it is demonstrated that the representation of the radial density as prepared in the pump-process is most crucial to obtain reliable signals within the classical approach.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170158
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    Paper (German National Licenses)
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  • 8
    Electronic Resource
    Electronic Resource
    Experimental and theoretical lifetimes in Yb III (2001)
    Springer
    The European physical journal 15 (2001), S. 301-305 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.70.Cs Oscillator strengths, lifetimes, transition moments – 42.62.Fi Laser spectroscopy
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: Lifetimes of three levels belonging to the configuration 4f 135d with J = 1 in Yb III have been measured for the first time using the time-resolved laser-induced fluorescence method. Experimental transition probabilities have been deduced for the transitions between the levels studied and the ground state. The comparison of the experimental lifetimes with theoretical data, deduced within the relativistic Hartree-Fock (HFR) approach, underlines the dramatic importance of an adequate consideration of core-polarization effects in the theoretical model and the sensitivity of one of the lifetime values to small correlation effects.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170144
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    Paper (German National Licenses)
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