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  • 2000-2004  (5)
  • 2001  (5)
  • PACS. 32.80.Pj Optical cooling of atoms; trapping – 34.50.Rk Laser-modified scattering and reactions  (3)
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
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  • 2000-2004  (5)
Year
  • 2001  (5)
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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)
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  • 3
    Electronic Resource
    Electronic Resource
    Inversion analysis of K 2 coupled electronic states with the Fourier grid method (2001)
    Springer
    The European physical journal 17 (2001), S. 319-328 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.80.Pj Optical cooling of atoms; trapping – 34.50.Rk Laser-modified scattering and reactions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We present a new determination of the potential curves and interactions of the coupled electronic states A 1 Σ + u and b 3 Π u of the potassium dimer, based on new laser spectroscopy measurements within a molecular beam, combined with data available in the literature. We used a new global deperturbation approach, involving the Fourier Grid Hamiltonian method for energy level calculation. A standard deviation of 1.2 is obtained corresponding to a variance of 7.5×10 -3 cm-1, representing a significant improvement compared to the standard deviation of 4 yielded by the traditional local deperturbation approach.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170006
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Cold rubidium molecule formation through photoassociation: A spectroscopic study of the 0 g - long-range state of 87 Rb 2 (2001)
    Springer
    The European physical journal 15 (2001), S. 189-198 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.80.Pj Optical cooling of atoms; trapping – 34.50.Rk Laser-modified scattering and reactions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We report the detailed analysis of translationally cold rubidium molecule formation through photoassociation. Cold molecules are formed after spontaneous decay of photoexcited molecules from a laser cooled atomic sample, and are detected by selective mass spectroscopy after two-photon ionization into Rb 2 + ions. A spectroscopic study of the 0 g - (5 S + 5 P 3/2 ) pure long-range state of 87Rb2 is performed by detecting the ion yield as a function of the photoassociation laser frequency; the spectral data are theoretically analyzed within the semiclassical RKR approach. Molecular ionization is resonantly enhanced through either the 2 3 Π g or the 2 3 Σ + g intermediate molecular states. Some vibrational levels of the latter electronic state are observed and assigned here for the first time. Finally, cold molecules formation rates are calculated and compared to the experimentally measured ones, and the vibrational distribution of the formed molecules in the a 3 Σ + u ground triplet state is discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170165
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  • 5
    Electronic Resource
    Electronic Resource
    Penning collisions of laser-cooled metastable helium atoms (2001)
    Springer
    The European physical journal 14 (2001), S. 15-22 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 32.80.Pj Optical cooling of atoms; trapping – 34.50.Rk Laser-modified scattering and reactions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We present experimental results on the two-body loss rates in a magneto-optical trap of metastable helium atoms. Absolute rates are measured in a systematic way for several laser detunings ranging from -5 to -30 MHz and at different intensities, by monitoring the decay of the trap fluorescence. The dependence of the two-body loss rate coefficient β on the excited state ( 23 P 2) and metastable state ( 23 S 1) populations is also investigated. From these results we infer a rather uniform rate constant K sp = (1±0.4)×10-7 cm3/s.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170228
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    Paper (German National Licenses)
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