9,493 research outputs found
Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
We analyse two classes of evolution equations which are of special
interest in Financial Mathematics, namely the Two-dimensional Black-Scholes
Equation and the equation for the Two-factor Commodities Problem. Our approach
is that of Lie Symmetry Analysis. We study these equations for the case in
which they are autonomous and for the case in which the parameters of the
equations are unspecified functions of time. For the autonomous Black-Scholes
Equation we find that the symmetry is maximal and so the equation is reducible
to the Classical Heat Equation. This is not the case for the
nonautonomous equation for which the number of symmetries is submaximal. In the
case of the two-factor equation the number of symmetries is submaximal in both
autonomous and nonautonomous cases. When the solution symmetries are used to
reduce each equation to a equation, the resulting equation is of
maximal symmetry and so equivalent to the Classical Heat Equation.Comment: 15 pages, 1 figure, to be published in Mathematics in the Special
issue "Mathematical Finance
Analytic Behaviour of Competition among Three Species
We analyse the classical model of competition between three species studied
by May and Leonard ({\it SIAM J Appl Math} \textbf{29} (1975) 243-256) with the
approaches of singularity analysis and symmetry analysis to identify values of
the parameters for which the system is integrable. We observe some striking
relations between critical values arising from the approach of dynamical
systems and the singularity and symmetry analyses.Comment: 14 pages, to appear in Journal of Nonlinear Mathematical Physic
Ermakov's Superintegrable Toy and Nonlocal Symmetries
We investigate the symmetry properties of a pair of Ermakov equations. The
system is superintegrable and yet possesses only three Lie point symmetries
with the algebra sl(2,R). The number of point symmetries is insufficient and
the algebra unsuitable for the complete specification of the system. We use the
method of reduction of order to reduce the nonlinear fourth-order system to a
third-order system comprising a linear second-order equation and a conservation
law. We obtain the representation of the complete symmetry group from this
system. Four of the required symmetries are nonlocal and the algebra is the
direct sum of a one-dimensional Abelian algebra with the semidirect sum of a
two-dimensional solvable algebra with a two-dimensional Abelian algebra. The
problem illustrates the difficulties which can arise in very elementary
systems. Our treatment demonstrates the existence of possible routes to
overcome these problems in a systematic fashion.Comment: Published in SIGMA (Symmetry, Integrability and Geometry: Methods and
Applications) at http://www.emis.de/journals/SIGMA
Characterization of high-dimensional entangled systems via mutually unbiased measurements
Mutually unbiased bases (MUBs) play a key role in many protocols in quantum
science, such as quantum key distribution. However, defining MUBs for arbitrary
high-dimensional systems is theoretically difficult, and measurements in such
bases can be hard to implement. We show experimentally that efficient quantum
state reconstruction of a high-dimensional multi-partite quantum system can be
performed by considering only the MUBs of the individual parts. The state
spaces of the individual subsystems are always smaller than the state space of
the composite system. Thus, the benefit of this method is that MUBs need to be
defined for the small Hilbert spaces of the subsystems rather than for the
large space of the overall system. This becomes especially relevant where the
definition or measurement of MUBs for the overall system is challenging. We
illustrate this approach by implementing measurements for a high-dimensional
system consisting of two photons entangled in the orbital angular momentum
(OAM) degree of freedom, and we reconstruct the state of this system for
dimensions of the individual photons from d=2 to 5.Comment: 8 page
Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility
We perform a classification of the Lie point symmetries for the
Black--Scholes--Merton Model for European options with stochastic volatility,
, in which the last is defined by a stochastic differential equation
with an Orstein--Uhlenbeck term. In this model, the value of the option is
given by a linear (1 + 2) evolution partial differential equation in which the
price of the option depends upon two independent variables, the value of the
underlying asset, , and a new variable, . We find that for arbitrary
functional form of the volatility, , the (1 + 2) evolution equation
always admits two Lie point symmetries in addition to the automatic linear
symmetry and the infinite number of solution symmetries. However, when
and as the price of the option depends upon the second
Brownian motion in which the volatility is defined, the (1 + 2) evolution is
not reduced to the Black--Scholes--Merton Equation, the model admits five Lie
point symmetries in addition to the linear symmetry and the infinite number of
solution symmetries. We apply the zeroth-order invariants of the Lie symmetries
and we reduce the (1 + 2) evolution equation to a linear second-order ordinary
differential equation. Finally, we study two models of special interest, the
Heston model and the Stein--Stein model.Comment: Published version, 14pages, 4 figure
Coarse-grained Interaction Potentials for Anisotropic Molecules
We have proposed an efficient parameterization method for a recent variant of
the Gay-Berne potential for dissimilar and biaxial particles and demonstrated
it for a set of small organic molecules. Compared to the previously proposed
coarse-grained models, the new potential exhibits a superior performance in
close contact and large distant interactions. The repercussions of thermal
vibrations and elasticity has been studied through a statistical method. The
study justifies that the potential of mean force is representable with the same
functional form, extending the application of this coarse-grained description
to a broader range of molecules. Moreover, the advantage of employing
coarse-grained models over truncated atomistic summations with large distance
cutoffs has been briefly studied.Comment: 8 pages, 4 tables and 6 figures. To appear in J. Chem. Phy
The WMAP normalization of inflationary cosmologies
We use the three-year WMAP observations to determine the normalization of the
matter power spectrum in inflationary cosmologies. In this context, the
quantity of interest is not the normalization marginalized over all parameters,
but rather the normalization as a function of the inflationary parameters n and
r with marginalization over the remaining cosmological parameters. We compute
this normalization and provide an accurate fitting function. The statistical
uncertainty in the normalization is 3 percent, roughly half that achieved by
COBE. We use the k-l relation for the standard cosmological model to identify
the pivot scale for the WMAP normalization. We also quote the inflationary
energy scale corresponding to the WMAP normalization.Comment: 4 pages RevTex4 with two figure
Characterization of solar-grade silicon produced by the SiF4-Na process
A process was developed for producing low cost solar grade silicon by the reaction between SiF4 gas and sodium metal. The results of the characterization of the silicon are presented. These results include impurity levels, electronic properties of the silicon after crystal growth, and the performance of solar photovoltaic cells fabricated from wafers of the single crystals. The efficiency of the solar cells fabricated from semiconductor silicon and SiF4-Na silicon was the same
Ethical Decision Making of Future Mexican Managers
A study to measure ethical decision making of Mexican business students compared to their US counterparts. Results suggest that Mexican students’ ethical decision-making frameworks differ from those documented by Keller et al. (2007) in their study of US students. Mexican students were not found to be highly religious, but subscribed more to utilitarian, deontological and hermeneutical frameworks for their ethical values. It is suggested that multinational firms doing business in Mexico might want to schedule ethics training of managers and to have a set of standards that employees can follow
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