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  • 2000-2004  (4)
  • 1800-1809
  • 2001  (4)
  • PACS. 03.75.Fi Phase coherent atomic ensembles; quantum condensation phenomena – 05.30.Jp Boson systems – 32.80.Pj Optical cooling of atoms; trapping  (2)
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
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Years
  • 2000-2004  (4)
  • 1800-1809
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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
    Coherent control of the self-trapping transition (2001)
    Springer
    The European physical journal 20 (2001), S. 451-467 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 03.75.Fi Phase coherent atomic ensembles; quantum condensation phenomena – 05.30.Jp Boson systems – 32.80.Pj Optical cooling of atoms; trapping
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We discuss the dynamics of two weakly coupled Bose-Einstein condensates in a double-well potential, contrasting the mean-field picture to the exact N-particle evolution. On the mean-field level, a self-trapping transition occurs when the scaled interaction strength exceeds a critical value; this transition essentially persists in small condensates comprising about 1000 atoms. When the double-well is modulated periodically in time, Floquet-type solutions to the nonlinear Schrödinger equation take over the role of the stationary mean-field states. These nonlinear Floquet states can be classified as “unbalanced” or “balanced”, depending on whether or not they entail long-time confinement of most particles to one well. Since the emergence of unbalanced Floquet states depends on the amplitude and frequency of the modulating force, we predict that the onset of self-trapping can efficiently be controlled by varying these parameters. This prediction is verified numerically by both mean-field and N-particle calculations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/PL00011106
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Instanton approach to Josephson tunneling between trapped condensates (2001)
    Springer
    The European physical journal 17 (2001), S. 351-363 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 03.75.Fi Phase coherent atomic ensembles; quantum condensation phenomena – 05.30.Jp Boson systems – 32.80.Pj Optical cooling of atoms; trapping
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: An instanton method is proposed to investigate the quantum tunneling between two weakly-linked Bose-Einstein condensates confined in double-well potential traps. We point out some intrinsic pathologies in the earlier treatments of other authors and make an effort to go beyond these very simple zero order models. The tunneling amplitude may be calculated in the Thomas-Fermi approximation and beyond it; we find it depends on the number of the trapped atoms, through the chemical potential. Some suggestions are given for the observation of the Josephson oscillation and the MQST.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170010
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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