arXiv subjects

Yadong Li

Publications and source records attributed to Yadong Li.

43 records · Page 3Linked to original sources

arXiv2011

Effect of Exchange-type Zero-bias Anomaly on Single Electron Tunnelling of Au Nanoparticles

Using cryogenic scanning tunnelling microscopy and scanning tunnelling spectroscopy we measured single electron tunnelling of isolated Au nanoparticles with 1.4 nm in radius. We observe that a gap ΔV ~ 2e/C (C is the capacitance of the Au particle) around zero bias in the tunnelling conductance spectrum, followed by a series of discrete single electron tunnelling peaks with voltage widths of EC ~ e/C at both negative and positive bias. Experimental data are well explained by taking into account the effect of exchange interaction of electrons on the single electron tunnelling of Au nanoparticles. A tunnelling peak near zero-bias was suppressed by the exchange-type zero-bias anomaly, which results in the gap ΔV ~ 2EC.

cond-mat.mes-hall↗

arXiv2010

The Impossible Trio in CDO Modeling

We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured simultaneously. We then propose a simple recovery variance regularization method to control the magnitude of negative credit spread risk while preserving the continuity on default.

q-fin.PR↗

arXiv2010

A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery

This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot recovery rate as its higher moments have almost no contribution to the loss distribution and CDO tranche pricing. Observing that only the joint distribution of default indicators is needed to build the portfolio loss distribution, we propose a generic class of default indicator copulas to model CDO tranches, which can be easily calibrated to index tranche prices across multiple maturities. This correlation modelling framework has the unique advantage that the joint distribution of default time and other dynamic properties of the model can be changed separately from the loss distribution and tranche prices. After calibrating the model to index tranche prices, existing top-down methods can be applied to the common factor process to construct very flexible systemic dynamics without changing the already calibrated tranche prices. This modelling framework therefore combines the best features of the bottom-up and top-down models: it is fully consistent with all the single name market information and it admits very rich and flexible spread dynamics. Numerical results from a non-parametric implementation of this modelling framework are also presented. The non-parametric implementation achieved fast and accurate calibration to the index tranches across multiple maturities even under extreme market conditions. A conditional Markov chain method is also proposed to construct the systemic dynamics, which supports an efficient lattice pricing method for dynamic spread instruments. We also showed how to price tranche options as an example of this fast lattice method.

q-fin.PR↗

arXiv2010

A Top-down Model for Cash CLO

We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the potential to bring the much needed pricing transparency to the cash CLO markets; and it could also greatly improve the risk management of cash instruments.

q-fin.PR↗

arXiv2010

Consistent Valuation of Bespoke CDO Tranches

This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing method of base correlation mapping. This method assigns a distinct market factor to each liquid credit index and models the correlation between these market factors explicitly. A low-dimensional semi-analytical Monte Carlo is shown to be very efficient in computing the PVs and risks of bespoke tranches. Numerical examples show that resulting bespoke tranche prices are generally in line with the current standard method of base correlation with TLP mapping. Practical issues such as model deltas and quanto adjustment are also discussed as numerical examples.

q-fin.PR↗

arXiv2010

Valuation Bound of Tranche Options

We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default time (JDDT) from a default time copula. Systemic and idiosyncratic factors beyond the JDDT only contribute a limited amount of pricing uncertainty. The price bounds of tranche option derived from a default time copula are often very narrow, especially for the senior part of the capital structure where there is the most market interests for tranche options. The tranche option bounds from a default time copula can often be computed semi-analytically without Monte Carlo simulation, therefore it is feasible and practical to price and risk manage senior CDO tranche options using the price bounds from a default time copula only. CDO tranche option pricing is important in a number of practical situations such as counterparty, gap or liquidation risk; the methodology described in this paper can be very useful in the above described situations.

q-fin.PR↗

arXiv2008

Magnetic properties of undoped Cu2O fine powders with magnetic impurities and/or cation vacancies

Fine powders of micron- and submicron-sized particles of undoped Cu2O semiconductor, with three different sizes and morphologies have been synthesized by different chemical processes. These samples include nanospheres 200 nm in diameter, octahedra of size 1 micron, and polyhedra of size 800 nm. They exhibit a wide spectrum of magnetic properties. At low temperature, T = 5 K, the octahedron sample is diamagnetic. The nanosphere is paramagnetic. The other two polyhedron samples synthesized in different runs by the same process are found to show different magnetic properties. One of them exhibits weak ferromagnetism with T_C = 455 K and saturation magnetization, M_S = 0.19 emu/g at T = 5 K, while the other is paramagnetic. The total magnetic moment estimated from the detected impurity concentration of Fe, Co, and Ni, is too small to account for the observed magnetism by one to two orders of magnitude. Calculations by the density functional theory (DFT) reveal that cation vacancies in the Cu2O lattice are one of the possible causes of induced magnetic moments. The results further predict that the defect-induced magnetic moments favour a ferromagnetically coupled ground state if the local concentration of cation vacancies, n_C, exceeds 12.5%. This offers a possible scenario to explain the observed magnetic properties. The limitations of the investigations in the present work, in particular in the theoretical calculations, are discussed and possible areas for further study are suggested.

cond-mat.mtrl-sci↗