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  • 2015-2019
  • 2000-2004  (4)
  • 2001  (4)
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
  • PACS. 61.12.-q Neutron diffraction and scattering – 61.66.Fn Inorganic compounds – 75.25.+z Spin arrangements in magnetically ordered materials (including neutron and spin-polarized electron studies, synchrotron-source x-ray scattering, etc.) – 75.30.Et Exchange and superexchange interactions  (2)
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Materialart
Erscheinungszeitraum
  • 2015-2019
  • 2000-2004  (4)
Jahr
  • 2001  (4)
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    Beliefs and stochastic modelling of interest rate scenario risk (2001)
    Springer
    The European physical journal 20 (2001), S. 511-515 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011107
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  • 2
    Digitale Medien
    Digitale Medien
    Extracting factors for interest rate scenarios (2001)
    Springer
    The European physical journal 20 (2001), S. 517-522 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/
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  • 3
    Digitale Medien
    Digitale Medien
    Crystal and magnetic structures of the oxyphosphates MFePO 5 (M = Fe, Co, Ni, Cu). Analysis of the magnetic ground state in terms of superexchange interactions (2001)
    Springer
    The European physical journal 22 (2001), S. 429-442 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 61.12.-q Neutron diffraction and scattering – 61.66.Fn Inorganic compounds – 75.25.+z Spin arrangements in magnetically ordered materials (including neutron and spin-polarized electron studies, synchrotron-source x-ray scattering, etc.) – 75.30.Et Exchange and superexchange interactions
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We have studied in detail the crystal and magnetic structures of the oxyphosphates MFePO5 (M: divalent transition metal) using neutron powder diffraction as a function of temperature. All of them are isomorphic to the mixed valence compound α-Fe2PO5 with space-group Pnma. No disorder exists between the two metallic sites. The M2+O6 octahedra share edges between them and faces with Fe3+O6 octahedra building zigzag chains running parallel to the b-axis that are connected by PO4 tetrahedra. The topology of this structure gives rise to a complex pattern of super-exchange interactions responsible of the observed antiferromagnetic order. The magnetic structures are all collinear with the spin directed along the b-axis except for M = Co. The experimental magnetic moments of Cu+2 and Ni2+ correspond to the expected ionic value, on the contrary the magnetic moment of Fe3+ is reduced, probably due to covalence effects, and that of Co2+ is greater than the spin-only value indicating a non negligible orbital contribution. Using numerical calculations we have established a magnetic phase diagram adapted for this type of crystal structure and determined the constraints to be satisfied by the values of the exchange interactions in order to obtain the observed magnetic structure as the ground state.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170093
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 4
    Digitale Medien
    Digitale Medien
    Neutron diffraction study of the magnetic ordering in the series R 2 BaNiO 5 (R = Rare Earth) (2001)
    Springer
    The European physical journal 24 (2001), S. 59-70 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 61.12.-q Neutron diffraction and scattering – 61.66.Fn Inorganic compounds – 75.25.+z Spin arrangements in magnetically ordered materials (including neutron and spin-polarized electron studies, synchrotron-source x-ray scattering, etc.) – 75.30.Et Exchange and superexchange interactions
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: A neutron diffraction study, as a function of temperature, of the title compounds is presented. The whole family (space group Immm, a ≈ 3.8Å, b ≈ 5.8Å, c ≈ 11.3Å) is structurally characterised by the presence of flattened NiO6 octahedra that form chains along the a-axis, giving rise to a strong Ni-O-Ni antiferromagnetic interaction. Whereas for Y-compound only strong 1D correlations exist above 1.5 K, presenting the Haldane gap characteristic of 1D AF chain with integer spin, 3D AF ordering is established simultaneously for both R and Ni sublattices at temperatures depending on the rare earth size and magnetic moment. The magnetic structures of R2BaNiO5 ( R = Nd, Tb, Dy, Ho, Er and Tm) have been determined and refined as a function of temperature. The whole family orders with a magnetic structure characterised by the temperature-independent propagation vector = (1/2, 0, 1/2). At 1.5 K the directions of the magnetic moments differ because of the different anisotropy of the rare earth ions. Except for Tm and Yb (which does not order above 1.5 K), the magnetic moment of the R3+ cations are close to the free-ion value. The magnetic moment of Ni2+ is around 1.4 , the strong reduction with respect to the free-ion value is probably due to a combination of low-dimensional quantum effects and covalency. The thermal evolution of the magnetic structures from T N down to 1.5 K is studied in detail. A smooth re-orientation, governed by the magnetic anisotropy of R3+, seems to occur below and very close to T N in some of these compounds: the Ni moment rotates from nearly parallel to the a-axis toward the c-axis following the R moments. We demonstrate that for setting up the 3D magnetic ordering the R-R exchange interactions cannot be neglected.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170022
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