Term structure of interest rates is very important for pricing derivatives. Various models have been devised to study the dynamics of spot rate movement, which is then used to build the whole term structure. In contrast, we model the forward rate curve itself. Specifically, forward rate curve is decomposed into two parts, one is a two factor component dependent on spot rate and the forward rate with longest time to maturity, the remainder is treated like a string with line tension following Bouchaud et al . This description reproduces the volatility hump and some other statistical properties observed in forward rate curve.
More detailed study is underway.
I study the dynamics of pattern formation in Swift-Hohenberg system which models block polymer among other physical systems. Starting from a disordered state, the system evolve into many patches, which is made up of parallel stripes, separated by point or line defects. The typical size of a patch grows in time according to a certain power law. We conducted computer simulations in 2D which showed that defects play important roles in determining the power law behavior of the system's dynamics. A method is devised to make visualization of defects much easier.