scholarly journals Pricing Basket Default Swaps in a Tractable Shot-Noise Model

2011 ◽  
Author(s):  
Alexander Herbertsson ◽  
Jiwook Jang ◽  
Thorsten Schmidt
Keyword(s):  
2003 ◽  
Vol 24 (4-5) ◽  
pp. 741-756 ◽  
Author(s):  
M.Alper Kutay ◽  
Athina P Petropulu ◽  
Catherine W Piccoli

2004 ◽  
Vol 04 (02) ◽  
pp. L403-L412 ◽  
Author(s):  
C. ZHANG ◽  
A. SRIVASTAVA ◽  
P. K. AJMERA

Noise model of a MOSFET, which includes the effect of forward-body bias, is proposed. Thermal noise and shot noise are extracted and their variations with the forward body-bias are compared. It is found that the shot noise increases with the forward body-bias and becomes significant above 0.4 V forward bias. A CMOS op-amp is designed utilizing forward body-bias technique combined with a level shift current mirror. The designed amplifier dissipates power of 40 μW and operates at ± 0.4 V to achieve a gain of 77 dB. The noise in this ultra low-power op-amp is also investigated. The total simulated output noise density of 320×10-12 V 2/ Hz in the ultra-low power op-amp design is slightly lower than the calculated 413×10-12 V 2/ Hz value from the proposed model.


2009 ◽  
Vol 125 (5) ◽  
pp. 3129 ◽  
Author(s):  
Kevin J. Haworth ◽  
J. Brian Fowlkes ◽  
Paul L. Carson ◽  
Oliver D. Kripfgans

Radio Science ◽  
2010 ◽  
Vol 45 (1) ◽  
pp. n/a-n/a ◽  
Author(s):  
I. Zouganelis ◽  
M. Maksimovic ◽  
N. Meyer-Vernet ◽  
S. D. Bale ◽  
J. P. Eastwood ◽  
...  

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