We develop two parsimonious models for pricing multi-name credit derivatives. We derive closed form expression for the loss distribution, which then can be used in determining the prices of tranche and index swaps and more exotic derivatives on these contracts. Our starting point is the model of...

We use a multiscale approach to study a lattice-gas model of submonolayer growth of Fe/Mo (110) by Molecular Beam Epitaxy. To begin with, we construct a two-dimensional lattice-gas model of the Fe/Mo (110) system based on our first-principles calculations of the monomer diffusion barrier and...

This manuscript considers inference on a single parameter in a multivariate canonical exponential family, where the effect of nuisance parameters on the p-value is mitigated by conditioning on the event that the sufficient statistics associated with the nuisance parameters lie in a neighborhood...

How does informality in emerging economies affect the conduct of monetary policy? To answer this question we construct a two-sector, formal-informal new Keynesian closed-economy. The informal sector is more labour intensive, is untaxed, has a classical labour market, faces high credit...

How does informality in emerging economies affect the conduct of monetary and fiscal policy? To answer this question we construct a two-sector, formal-informal new Keynesian closed-economy. The informal sector is more labour intensive, is untaxed, has a classical labour market, faces high credit...

We develop a closed-economy DSGE model of the Indian economy and estimate it by Bayesian Maximum Likelihood methods using Dynare. We build up in stages to a model with a number of features important for emerging economies in general and the Indian economy in particular: a large proportion of...

A New-Keynesian model with deep habits and optimal monetary policy delivers a fiscal multiplier above one and the crowding-in effect on private consumption obtainable in a Real Business Cycle model à la Ravn et al. (2006). Optimized Taylor-type or price-level interest rate rules yield...

Detecting communities from complex networks has recently triggered great interest. Aiming at this problem, a new ant colony optimization strategy building on the Markov random walks theory, which is named as MACO, is proposed in this paper. The framework of ant colony optimization is taken as...

This paper is concerned with the study of a novel design of turbine for tidal currents or fast-flowing streams, called the ‘Hunter Turbine’. The turbine consists of several flapping blades that are hinged on a revolving drum. Flow visualization experiments on a small model were conducted to...