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31.
Dashan Huang Yoshitaka Kai Frank J. Fabozzi Masao Fukushima 《European Journal of Operational Research》2007
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. 相似文献
32.
In [NR] the authors introduced the notion of superstable operators on a Banach space E using ultrapowers Eu 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. 相似文献
33.
Gabor Schmera Adi Bulsara David Pierson Frank Moss Enrico Di Cera 《Journal of statistical physics》1993,71(5-6):1179-1190
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. 相似文献
34.
Investigations to the causes and effects of contaminants at the rf diode deposition of CrSi films in a non-heated high vacuum apparatus were carried out comparing an oxygen-free fusion target with an oxygen-containing cermet target. The films of the fusion target contained considerable amounts of oxygen; analogously the oxygen concentration in the films was increased in the case of the cermet target. Moreover, hydrogen was found. The concentration of the contaminants decreased with the sputtering power, however the rate of incorporation increased. For high sputtering rates the contamination process was reproducible and independent of the plant conditioning; the deposited films were depth-homogeneous. The reasons for this behaviour lie in water sources which are activated first of all by the discharge itself. The electrical properties found are explained by the contaminants and the deposition conditions. 相似文献
35.
We study numerically the Riemann problem for a 2 x 2 system of conservation laws with a cubic flux function, a particular case of the class of models introduced by Keyfitz and Kranzer. The system is not strictly hyperbolic, and the classical Lax theory for hyperbolic systems is not directly applicable. Correspondingly, some numerical schemes which are accurate for strictly hyperbolic systems are not well behaved for this example. When they do work, different schemes yield markedly different results for certain data. We explain this effect by observing that, near these data, viscous regularization is non-uniform as the viscosity tends to zero. This fact does not contradict the well-posedness of the hyperbolic model; it does imply that precise control of the viscosity introduced into a computational method is crucial for generating the correct numerical solutions. We examine all of these issues and comment on their implications for similar systems which arise in continuum mechanics. 相似文献
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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. 相似文献
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