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  • 2000-2004  (4)
  • 1955-1959
  • 2001  (4)
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
  • PACS. 32.80.Pj Optical cooling of atoms; trapping – 42.50.Vk Mechanical effects of light on atoms, molecules, electrons, and ions  (2)
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  • 2000-2004  (4)
  • 1955-1959
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  • 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
    Single-beam optical bottle for cold atoms using a conical lens (2001)
    Springer
    The European physical journal 14 (2001), S. 373-376 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.80.Pj Optical cooling of atoms; trapping – 42.50.Vk Mechanical effects of light on atoms, molecules, electrons, and ions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We report a new method to generate an optical dipole potential with a null intensity region surrounded in all directions by light walls. This is achieved with a simple scheme based on a conical lens. Applications to optical trapping of neutral atoms are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170205
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    A continuous cold atomic beam from a magneto-optical trap (2001)
    Springer
    The European physical journal 15 (2001), S. 245-249 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.80.Pj Optical cooling of atoms; trapping – 42.50.Vk Mechanical effects of light on atoms, molecules, electrons, and ions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We have developed and characterized a new method to produce a continuous beam of cold atoms from a standard vapour-cell magneto-optical trap (MOT). The experimental apparatus is very simple. Using a single laser beam it is possible to hollow out in the source MOT a direction of unbalanced radiation pressure along which cold atoms can be accelerated out of the trap. The transverse cooling process that takes place during the extraction reduces the beam divergence. The atomic beam is used to load a magneto-optical trap operating in an ultra-high vacuum environment. At a vapour pressure of 10-8mbar in the loading cell, we have produced a continuous flux of 7×107atoms/s at the recapture cell with a mean velocity of 14 m/s. A comparison of this method with a pulsed transfer scheme is presented.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170172
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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