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This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...
This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...
Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011
Formal analysis techniques are widely used today in order to verify and analyze communication protocols. In this work, we launch a quantitative analysis for the low-cost Radio Frequency Identification (RFID) protocol proposed by Song and Mitchell. The anal ...
Ieee Computer Soc Press, Customer Service Center, Po Box 3014, 10662 Los Vaqueros Circle, Los Alamitos, Ca 90720-1264 Usa2011
In all the existing literature on survival in heterogeneous economies, the rate at which an agent vanishes in the long run relative to another agent can be characterized by the difference of the so-called survival indices, where each survival index only dep ...
The energy transfer between the two interacting optical waves in a distributed sensor based on stimulated Brillouin scattering can lead to a non-uniform spectral distribution of the pumping power after a long propagation. This results in a spectrally disto ...
In the spirit of Bjork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath ...
The tissues of a developing embryo are simultaneously patterned, moved and differentiated according to an exchange of information between their constituent cells. We argue that these complex self-organizing phenomena can only be fully understood with quant ...
The classical Markowitz approach to portfolio selection is compromised by two major shortcomings. First, there is considerable model risk with respect to the distribution of asset returns. Particularly, mean returns are notoriously difficult to estimate. M ...
Collisionless delta-f gyrokinetic particle-in-cell simulations suffer from the entropy paradox, in which the entropy grows linearly in time while low-order moments are saturated. As a consequence, these simulations do not reach a steady state and are unsui ...
Most accounts of the function of anterior insula in the human brain refer to concepts that are difficult to formalize, such as feelings and awareness. The discovery of signals that reflect risk assessment and risk learning, however, opens the door to forma ...
