Markov interest rate models

A general procedure for creating Markovian interest rate models is presented. The models created by this procedure automatically fit within the HJM framework and fit the initial term structure exactly. Therefore they are arbitrage free. Because the models created by this procedure have only one state variable per factor, twoand even three-factor models can be computed efficiently, without resorting to Monte Carlo techniques. This computational efficiency makes calibration of the new models to market prices straightforward. Extended Hull- White, extended CIR, Black-Karasinski, Jamshidian's Brownian path independent models, and Flesaker and Hughston's rational log normal models are one-state variable models which fit naturally within this theoretical framework. The ‘separable’ n-factor models of Cheyette and Li, Ritchken, and Sankarasubramanian - which require n(n + 3)/2 state variables - are degenerate members of the new class of models with n(n + 3)/2 factors. The procedure is used to create a new class of one-factor models, the ‘β-η models.’ These models can match the implied volatility smiles of swaptions and caplets, and thus enable one to eliminate smile error. The β-η models are also exactly solvable in that their transition densities can be written explicitly. For these models accurate - but not exact - formulas are presented for caplet and swaption prices, and it is indicated how these closed form expressions can be used to efficiently calibrate the models to market prices.     

Numerical analysis of wave propagation in fluid-filled deformable tubes

The theory of Biot describing wave propagation in fluid saturated porous media is a good effective approximation of a wave induced in a fluid-filled deformable tube. Nonetheless, it has been found that Biot's theory has shortcomings in predicting the fast P-wave velocities and the amount of intrinsic attenuation. These problems arises when complex mechanical interactions of the solid phase and the fluid phase in the micro-scale are not taken into account. In contrast, the approach proposed by Bernabe does take into account micro-scopic interaction between phases and therefore poses an interesting alternative to Biot's theory. A Wave propagating in a deformable tube saturated with a viscous fluid is a simplified model of a porous material, and therefore the study of this geometry is of great interest. By using this geometry, the results of analytical and numerical results have an easier interpretation and therefore can be compared straightforward. Using a Finite Difference viscoelastic wave propagation code, the transient response was simulated. The wave source was modified with different characteristic frequencies in order to gain information of the dispersion relation. It was found that the P-wave velocities of the simulations at sub-critical frequencies closely match those of Bernabe's solution, but at over-critical frequencies they come closer to Biot's solution. (© 2013 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

A principal ideal theorem analogue for modules over commutative rings

The Principal Ideal Theorem states that if Re is a commutative Noetherian ring and ? is a prime ideal of Re which is minimal over a principal ideal then Pe has height at most 1. Also, if Re is a (not necessarily Noetherian) UFD and Pe is a prime ideal of Re minimal over a principal ideal then Pe has height at most 1. We shall show that there are analogues for modules over commutative rings, but they hold only in special cases.     

Free zeropotent left distributive systems

We prove a result conjectured by J.Je[zcirc]ek in [9],namely that a zeropotent left self-distributive system need not be 3-trivial, i.e.,the identity x(yz)=0 does not follow from the identities x(yz)=(xy)(xz),xx=0 and x0=0x=0.The argument is a general scheme possibly working for various identities in the context of self-distributivity.     

Thermal noise as a spectroscopic tool to determine transport properties

The utilization of thermal fluctuations or Johnson/Nyquist noise as a spectroscopic method to determine transport properties in conductors or semiconductors is developed. The autocorrelation function is obtained from power spectral density measurements thus enabling electronic transport property calculation through the Green–Kubo formalism. This experimental approach is distinct from traditional numerical methods such as molecular dynamics simulations, which have been used to extract the autocorrelation function and directly related physics only. This work reports multi-transport property measurements consisting of the electronic relaxation time, resistivity, mobility, diffusion coefficient, electronic contribution to thermal conductivity and Lorenz number from experimental data. Double validation of the experiment was accomplished through the use of a standard reference material and a standard measurement method, i.e. four-probe collinear resistivity technique. Thermal noise measurements resulted in a 1.1 and 5% agreement with the reference material and four-probe values, respectively. Additional measurements were also taken on nanoscale Au and Cu thin films. Specifically, the validated spectroscopic methodology was applied to 30 nm Au and Cu thin films to obtain transport property data that was again compared to four-probe resistivity measurements. Comparative analysis of the resistivity data showed agreement within 13.6 and 4.8% for the Au and Cu samples, respectively, thus lending further credibility to the experimental method and theory.     

Dissociation of dimethyl ether at high temperatures

The decomposition of dimethyl ether (CH₃OCH₃) has been investigated behind incident shock waves in a diaphragmless shock tube using laser schlieren densitometry, LS (T = 1500–2450 K, P = 57 ± 4, 125 ± 5 and 253 ± 12 Torr). The LS density gradient profiles were simulated and excellent agreement was found between the simulations and experimental profiles. Rate coefficients for CH₃OCH₃ → CH₃O + CH₃ were obtained. They showed strong fall-off, and at the lower end of the experimental temperature range are close to the low pressure limit. First order rate coefficient expressions were determined over 1500 < T < 2450 K. k_57Torr = (3.10 ± 1.0) × 10⁷⁹T^?19.03 exp(?54417/T) s^?1, k_125Torr = (1.12 ± 0.3) × 10⁸³T^?19.94 exp(?55554/T) s^?1and k_253Torr = (1.02 ± 0.3) × 10⁷³T^?17.09 exp(?51500/T) s^?1. The effect of a roaming channel for decomposition of dimethyl ether was assessed and the best agreement was obtained with 1% dissociation of DME via the roaming path.     

Search for magnetic interaction in In doped AlN using perturbed angular correlation spectroscopy

The possible presence of a large magnetic field due to spin polarization of a Cd nucleus (decay product of ¹¹¹In) at an Al substitutional site in AlN is investigated with perturbed angular correlation (PAC) spectroscopy. The PAC spectra of ¹¹¹In/¹¹¹Cd in AlN show two probe environments: a weak quadrupole interaction (quadrupole interaction constant, $\nu _{\rm Q}^{\,\,\,\rm lattice} = 30$  MHz) due to ¹¹¹In probes at a defect free Al substitutional site and an unknown large interaction ( $\nu _{\rm Q}^{\,\,\,\rm complex} = 300$  MHz) tentatively attributed to a nearest neighbour pair between ¹¹¹In and a nitrogen vacancy (V_N) aligned along the c-axis. Surprisingly, in density functional theory (DFT) calculations, such a large electric field gradient (EFG) could not be reproduced. However, an inclusion of spin polarization in the calculations indicates a strong magnetic field at ~50 % of the ¹¹¹In/¹¹¹Cd site. An attempt to verify the presence of the strong magnetic field and to explain the origin of the strong interaction is made. Orientation measurements show, the large interaction is not characterised by a magnetic interaction and is predominantly due to the EFG. However, in the presence of an external magnetic field, the strong interaction probe environment becomes more uniform and the EFG increases by ~10 %. This definitely hints towards some sort of magnetic interaction at the strong interaction probe site.     

Formalizing and solving the problem of clustering in MCDA

The topic of clustering has been widely studied in the field of Data Analysis, where it is defined as an unsupervised process of grouping objects together based on notions of similarity. Clustering in the field of Multi-Criteria Decision Aid (MCDA) has seen a few adaptations of methods from Data Analysis, most of them however using concepts native to that field, such as the notions of similarity and distance measures. As in MCDA we model the preferences of a decision maker over a set of decision alternatives, we can find more diverse ways of comparing them than in Data Analysis. As a result, these alternatives may also be arranged into different potential structures. In this paper we wish to formally define the problem of clustering in MCDA using notions that are native to this field alone, and highlight the different structures which we may try to uncover through this process. Following this we propose a method for finding these structures. As in any clustering problem, finding the optimal result in an exact manner is impractical, and so we propose a stochastic heuristic approach, which we validate through tests on a large set of artificially generated benchmarks.     

Chain conditions in modules with krull dimension

Any ring with Krull dimension satisfies the ascending chain condition on semiprime ideals. This result does not hold more generally for modules. In particular if Ris the first Weyl algebra over a field of characteristic 0 then there are Artinian R-modules which do not satisfy the ascending chain condition on prime submodules. However, if Ris a ring which satisfies a polynomial identity then any R-module with Krull dimension satisfies the ascending chain condition on prime submodules, and, if Ris left Noethe-rian, also the ascending chain condition on semiprime submodules.