An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

This paper presents a model for optimally designing a collateralized mortgage obligation (CMO) with a planned amortization class (PAC)-companion structure using dynamic cash reserve. In this structure, the mortgage pool’s cash flow is allocated by rule to the two bond classes such that PAC bondholders receive substantial prepayment protection, that protection being provided by the companion bondholders. The structure we propose provides greater protection to the PAC bondholders than current structures during periods of rising interest rates when this class of bondholders faces greater extension risk. We do so by allowing a portion of the cash flow from the collateral to be reserved to meet the PAC’s scheduled cash flow in subsequent periods. The greater protection is provided by the companion bondholders exposure to interest loss. To tackle this problem, we transform the problem of designing the optimal PAC-companion structure into a standard stochastic linear programming problem which can be solved efficiently. Moreover, we present an extended model by considering the quality of the companion bond and by relaxing the PAC bondholder shortfall constraint. Based on numerical experiments through Monte Carlo simulation, we show the utility of the proposed model.     

Superstable semigroups of operators

In [NR] the authors introduced the notion of superstable operators on a Banach space E using ultrapowers E_u of E. In [HR] this notion was extended to strongly continuous one-parameter semigroups again by means of ultrapowers.It is the aim of the present paper to give an equivalent intrinsic definition of superstability (without the reference to ultrapowers). This definition allows us to improve the results of [NR] as well as of [HR]. We apply our results to semigroups of positive linear operators on Banach lattices and C^*-algebras, respectively.     

Looking at Fokker-Planck dynamics with a noisy instrument

We consider the class of experiments which can be characterized by a Fokker-PIanck dynamics corresponding to the overdamped motion of a state point in a suitable stochastic potential. We assume that the general form of the potential is known (or can be guessed with reasonable accuracy), but that its parameters are to be determined experimentally by measurements made with a noisy instrument. This possible method for determining the potential parameters, which exploits the system's own internal stochastic motion in order to explore rapidly its available parameter space, is substantially more efficient than traditional methods involving time averages of single point measurements, and yet does not appear to have been previously considered. The method could be important when, for example, the experiment must be completed in a limited time owing either to the expense of the experimental materials or to the temporary stationarity of the preparation, situations which are commonly encountered in experimental biochemistry and biology.     

Constructing Space for Science at the Royal Institution of Great Britain

Those who have worked in the Royal Institution of Great Britain have, since its foundation in 1799, made significant contributions to scientific knowledge, to its practical application, and to its communication to a wide variety of audiences. Such work cannot be carried out in an architectural vacuum, and in this paper we examine how the buildings of the Royal Institution, 20 and 21 Albemarle Street in central London, have shaped the work undertaken within its walls and how, on a number of occasions, the buildings have been reconfigured to take account of the evolving needs of scientific research and communication. This paper is based on the Conservation Plan of the Royal Institution that we wrote during 2003. The Conservation Plan did not examine the land owned by the Royal Institution to the north (i.e., 22 and 23 Albemarle Street; for this area see Richard Garnier, “Grafton Street, Mayfair,” Georgian Group Journal 13 (2003), 210–272), but it did discuss 18 and 19 Albemarle Street. In this paper we concentrate on the core Royal Institution buildings at 20 and 21 Albemarle Street. Other studies of the relationship of architecture,space, and science include Crosbie Smith and Jon Agar, ed., Making Space for Science: Territorial Themes in the Shaping of Knowledge (Basingstoke: Macmillan, 1997); Peter Galison and Emily Thompson, ed., The Architecture of Science (Cambridge, Mass.: MIT Press, 1999); and Sophie Forgan,“The architecture of science and the idea of a university,” Studies in History and Philosophy of Science 20 (1989), 405–434. Frank A.J.L. James is Professor of the History of Science at the Royal Institution; he has written widely on the history of nineteenth-century science in its social and cultural contexts and is editor of the Correspondence of Michael Faraday. He is President of the British Society for the History of Science. Anthony Peers is an Associate of Rodney Melville and Partners where he works in the field of building conservation as an architectural historian. He is a Council member of the Ancient Monument Society.     

Loss without recovery of Gibbsianness during diffusion of continuous spins

We consider a specific continuous-spin Gibbs distribution μ_t=0 for a double-well potential that allows for ferromagnetic ordering. We study the time-evolution of this initial measure under independent diffusions. For `high temperature' initial measures we prove that the time-evoved measure μ<sub>t</sub> is Gibbsian for all t. For `low temperature' initial measures we prove that μ_t stays Gibbsian for small enough times t, but loses its Gibbsian character for large enough t. In contrast to the analogous situation for discrete-spin Gibbs measures, there is no recovery of the Gibbs property for large t in the presence of a non-vanishing external magnetic field. All of our results hold for any dimension d≥2. This example suggests more generally that time-evolved continuous-spin models tend to be non-Gibbsian more easily than their discrete-spin counterparts. Research carried out at EURANDOM and supported by Deutsche Forschungsgemeinschaft     

A short synthesis of 3,3-di(hetero)arylpropylamines obtained from bis-(hetero)aryl ketones via palladium catalysis

A palladium-catalyzed parallel synthesis of bis-hetero(aryl) ketones is described with two further synthetic steps allowing easy entry to 3,3-di(hetero)arylpropylamines.