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73
A Markov Model for the Term Structure of Credit Risk Spreads
 Review of Financial Studies
, 1997
"... This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data ..."
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Cited by 340 (12 self)
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This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data. This model is useful for pricing and hedging corporate debt with imbedded options, for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging (foreign) government bonds subject to default risk (e.g., municipal bonds), for pricing and hedging credit derivatives, and for risk management. This article presents a simple model for valuing risky debt that explicitly incorporates a firm's credit rating as an indicator of the likelihood of default. As such, this article presents an arbitragefree model for the term structure of credit risk spreads and their evolution through time. This model will prove useful for the pricing and hedging of corporate debt with We would like to thank John Tierney of Lehman Brothers for providing the bond index price data, and Tal Schwartz for computational assistance. We would also like to acknowledge helpful comments received from an anonymous referee. Send all correspondence to Robert A. Jarrow, Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853. The Review of Financial Studies Summer 1997 Vol. 10, No. 2, pp. 481523 1997 The Review of Financial Studies 08939454/97/$1.50 imbedded options, for the pricing and hedging of OTC derivatives with counterparty risk, for the pricing and hedging of (foreign) government bonds subject to default risk (e.g., municipal bonds), and for the pricing and hedging of credit derivatives (e.g. credit sensitive notes and spread adjusted notes). This model can also...
Geometric bounds for eigenvalues of Markov chains
, 1991
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
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Cited by 316 (12 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
Joint Scheduling and Power Control for Wireless Adhoc Networks
, 2002
"... In this pape we introduce powe r control as a solution tothe multiple accel proble in conte tionbase wirenb adhocne works.The motivation for this study is two fold, limiting multiuse intej toincre single hop throughput, andrej powe r consumption to increj batte life We focus onne ne bor transmi ..."
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Cited by 251 (6 self)
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In this pape we introduce powe r control as a solution tothe multiple accel proble in conte tionbase wirenb adhocne works.The motivation for this study is two fold, limiting multiuse intej toincre single hop throughput, andrej powe r consumption to increj batte life We focus onne ne bor transmissions whes node are rej tose information packe  tothe re e e re e sub jej to a constraint on the signaltointealtoinjj ratio.The multiple acce  proble is solve via twoaltej phase name schej and powe r control.The sche algorithm isej tial to coordinate the transmissions ofinde ede t use inorde toejj strong intej (e.g selfinterference) that can not be ove by powe r control. On the othe hand, powe r control isej in adistribute fashion to dej the admissible powe r ve ifone ene that can be use bythe sche use to satisfy thei singlej transmissionrensmissi ts. This isdone for two type s ofne works, namej TDMA and TDMA/CDMA wire/CD adhocne works.
Power law and exponential decay of inter contact times between mobile devices
, 2007
"... We examine the fundamental properties that determine the basic performance metrics for opportunistic communications. We first consider the distribution of intercontact times between mobile devices. Using a diverse set of measured mobility traces, we find as an invariant property that there is a cha ..."
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Cited by 177 (2 self)
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We examine the fundamental properties that determine the basic performance metrics for opportunistic communications. We first consider the distribution of intercontact times between mobile devices. Using a diverse set of measured mobility traces, we find as an invariant property that there is a characteristic time, order of half a day, beyond which the distribution decays exponentially. Up to this value, the distribution in many cases follows a power law, as shown in recent work. This power law finding was previously used to support the hypothesis that intercontact time has a power law tail, and that common mobility models are not adequate. However, we observe that the time scale of interest for opportunistic forwarding may be of the same order as the characteristic time, and thus the exponential tail is important. We further show that already simple models such as random walk and random waypoint can exhibit the same dichotomy in the distribution of intercontact time asc in empirical traces. Finally, we perform an extensive analysis of several properties of human mobility patterns across several dimensions, and we present empirical evidence that the return time of a mobile device to its favorite location site may already explain the observed dichotomy. Our findings suggest that existing results on the performance of forwarding schemes based on powerlaw tails might be overly pessimistic.
Channel Access Algorithms with Active Link Protection for Wireless Communication Networks with Power Control
 IEEE/ACM Trans. on Networking
, 2000
"... A distributed powercontrol algorithm with active link protection (DPC/ALP) is studied in this paper. It maintains the quality of service of operational (active) links above given thresholds at all times (link quality protection). As network congestion builds up, established links sustain their qual ..."
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Cited by 104 (6 self)
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A distributed powercontrol algorithm with active link protection (DPC/ALP) is studied in this paper. It maintains the quality of service of operational (active) links above given thresholds at all times (link quality protection). As network congestion builds up, established links sustain their quality, while incoming ones may be blocked and rejected. A suite of admission control algorithms, based on the DPC/ALP one, is also studied. They are distributed/autonomous and operate using local interference measurements.
A chernoff bound for random walks on expander graphs
 Proc. 34th IEEE Symp. on Foundations of Computer Science (FOCS93
, 1998
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Dynamic rate control algorithms for HDR throughput optimization
 In Proceedings of IEEE INFOCOM ’01
, 2001
"... The relative delay tolerance of data applications, together with the bursty traffic characteristics, opens up the possibility for scheduling transmissions so as to optimize throughput. ..."
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Cited by 83 (5 self)
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The relative delay tolerance of data applications, together with the bursty traffic characteristics, opens up the possibility for scheduling transmissions so as to optimize throughput.
Naïve Learning in Social Networks: Convergence, Influence, and the Wisdom of Crowds
, 2007
"... We study learning and influence in a setting where agents communicate according to an arbitrary social network and naïvely update their beliefs by repeatedly taking weighted averages of their neighbors ’ opinions. A focus is on conditions under which beliefs of all agents in large societies converge ..."
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Cited by 39 (3 self)
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We study learning and influence in a setting where agents communicate according to an arbitrary social network and naïvely update their beliefs by repeatedly taking weighted averages of their neighbors ’ opinions. A focus is on conditions under which beliefs of all agents in large societies converge to the truth, despite their naïve updating. We show that this happens if and only if the influence of the most influential agent in the society is vanishing as the society grows. Using simple examples, we identify two main obstructions which can prevent this. By ruling out these obstructions, we provide general structural conditions on the social network that are sufficient for convergence to truth. In addition, we show how social influence changes when some agents redistribute their trust, and we provide a complete characterization of the social networks for which there is a convergence of beliefs. Finally, we survey some recent structural results on the speed of convergence and relate these to issues of segregation, polarization and propaganda.
Markov Mortality Models: Implications Of Quasistationarity And Varying Initial Distributions
 THEORETICAL POPULATION BIOLOGY
, 2004
"... This paper explains some implications of Markovprocess theory for models of mortality. We show that an important qualitative feature which has been found in certain models  the convergence to a "mortality plateau"  is, in fact, a generic consequence of the convergence to a " ..."
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Cited by 35 (3 self)
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This paper explains some implications of Markovprocess theory for models of mortality. We show that an important qualitative feature which has been found in certain models  the convergence to a "mortality plateau"  is, in fact, a generic consequence of the convergence to a "quasistationary distribution", which has been explored extensively in the mathematical literature. This