Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates

Linearized versions of the Nelson–Siegel (1987) and Svensson (1994) models for the cross-sectional estimation of spot yield curves from samples of coupon bonds are developed and analyzed. It is shown how these models can be made linear in the level, slope and curvature parameters and how prior information about these parameters can be incorporated in the estimation procedure. The performance of the linearized models are assessed in a Monte Carlo setting and with a sample of US government bonds. The results reveal that the linearized models compare favorably to the original models in terms of parameter estimates stability, computing effort and prevalence of local optima.     

On the instability of the Riemann hypothesis for curves over finite fields

We show that it is possible to approximate the zeta-function of a curve over a finite field by meromorphic functions which satisfy the same functional equation and moreover satisfy (respectively do not satisfy) an analog of the Riemann hypothesis. In the other direction, it is possible to approximate holomorphic functions by simple manipulations of such a zeta-function. No number theory is required to understand the theorems and their proofs, for it is known that the zeta-functions of curves over finite fields are very explicit meromorphic functions. We study the approximation properties of these meromorphic functions.     

Measurement of cluster–cluster interaction in liquids by deposition and AFM of silicon clusters onto HOPG surfaces

Experimental studies have been performed on unisize tungsten clusters constructed on a graphite surface by means of the scanning tunneling microscopy. It was found that the geometry of the clusters changes instantaneously from a monatomic-layer tungsten disk to a diatomic-layer structure between the cluster size of 10 and 11. We concluded that this transition is driven by a change in the dominant interaction from the attractive electrostatic interaction between the cluster and the surface to intracluster cohesive metallic interaction.     

Interaction between parallel polymer fibers insonificated by ultrasound of low/mild intensity: an analytical theory and experiments

The purpose of this article is to develop a simple mathematical model to address some bioeffects which may be caused by a static attractive force between two long neighboring parallel thin fibers (for example, a pair of collagen bundles of connective tissue) when they are insonificated by a continuous (CW) traveling plane ultrasound (US) under the condition that the fiber length (L)?the distance between them (h) and h?the wavelength of US (λ). The theory predicts that there is an attractive force between these fibers when they are exposed to the CW US with an intensity of a magnitude of 100mW/cm(2). The relationship between the relative approaching velocity of the fibers and the acoustic pressure amplitude can be calculated using the theory. An experiment was performed to verify the theoretical predictions. A plastic test chamber (diameter × height=6mm × 3.5mm) with a cap made of a sound-absorbing material and filled full with distilled water was placed on a microscope stage. A polymer fiber pair of 100μm diameter (d) and 4mm length (L) were immersed in water and aligned parallel in a plane which is normal to the US propagation direction. They floated at the central area of the chamber and h ≤10d. A 25mm diameter, 1MHz quartz crystal was used as an ultrasound source as well as the bottom of the test chamber. The quartz crystal was gold-coated on both sides, but a 5mm diameter center was left transparent (electrode free) to enable optical observation via a microscope. The maximum acoustic intensity, I(max), of the CW wave generated by the source was set at 300mW/cm(2); the corresponding acoustic pressure amplitude was 100kPa. The magnitude of the average approaching velocity of the fiber pair due to the attractive force was found in agreement with that predicted by the theory.     

Water transfer in mixed water-in-oil emulsions studied by differential scanning calorimetry

Water transfers are observed within complex systems containing aqueous phases separated by a membrane or an oil phase, such as biological cells or multiple emulsions. In order to better understand water transfer mechanism, a system made of a mixed water-in-oil (W/O) emulsion containing two kinds of aqueous droplets — pure water and a 30 % urea solution — was developed. Water transfer from pure water droplets to urea solution droplets was evidenced by Differential Scanning Calorimetry (DSC). Finally the mixed emulsion contains one kind of droplets made of a diluted urea solution which composition is in agreement with formulation and data obtained from experiments performed on single W/O emusions which dispersed phase is a diluted urea solution of the same composition. These mixed emulsions have been pictured as a three-fluid phases system containing two aqueous phases separated by a plane oil membrane. From a homogeneous solubility-diffusion model applied to a quasi-stationnary regime, the water intra-diffusion coefficient has been obtained and compared to the value calculated from the Stokes-Einstein equation. A factor ten makes the discrepancy between the two values, the value deduced from the model being the highest. A possible influence of the emulsifier molecules has been evoked.     

An STM study of the adsorption of Pb on Cu(100): formation of an ordered surface alloy

The adsorption of Pb on Cu(100) from 0 to 1 ML was investigated by UHV scanning tunneling microscopy. We obtained atomic resolution images of the different superstructures which appear at 300 K with increasing coverage (c(4 × 4), c(2 × 2) and c( √2)R45°). We confirm recent results and propose, partly on the basis of low temperature studies, new arguments in favour of an incorporation of lead atoms in the surface layer of copper for low coverage. We demonstrate that the c(4 × 4) superstructure corresponds to an ordered surface alloy of Pb₃Cu₄ composition, by investigating separately the alloying and de-alloying transitions. De-alloying occurs during the first-order transition between the c(4 × 4) and c(2 × 2) superstructures.     

Two-photon conical emission

A two-photon resonantly enhanced four-wave mixing (FWM) process leading to the conical emission of two new frequency components has been observed in atomic sodium vapor. A dye laser tuned close to the 3s → 3d two-photon allowed transition produces broad-band emission near the frequencies of the 3d → 3p and 3p → 3s transitions. This radiation is emitted in the forward direction in the form of cones surrounding the transmitted laser beam. The dependence of the cone angle on the emission wavelength and atomic number density is in excellent agreement with the predictions of a model that ascribes the origin of the conical emission to a phase-matched four-wave mixing process.     

A study of NO adsorbed on alumina-supported Rh by IETS

Inelastic Electron Tunneling Spectroscopy has been used to study the adsorption of NO on evaporated Rh particles supported on alumina. The molecule adsorbs dissociatively and the nitrogen reacts with hydroxyl groups on the alumina surface to form a RhNH_x species, as shown by studies using ¹⁵NO and a deuteroxyled alumina surface.     

Occurrence of alternating parity levels in bands of the odd-Z219Ac nucleus

A positive and a negative parity band in²²¹Th have been investigated via the²⁰⁸Pb(¹⁶O, 3n)²²¹Th reaction. Strong E1 transitions compete with stretched E2 transitions deexciting levels of alternating parity. The measured averaged =2.6 · 10^?6 fm^?2 is similar to that observed in neighbouring nuclei. The level scheme may be interpreted assuming an octupole deformed core.