Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics

We analyse two classes of $(1+2)$ 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 $(1+2)$ 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 $(1+1)$ equation, the resulting equation is of maximal symmetry and so equivalent to the $(1+1)$ 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, $\sigma$, 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, $S$, and a new variable, $y$. We find that for arbitrary functional form of the volatility, $\sigma(y)$, 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 $\sigma(y)=\sigma_{0}$ 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