A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the stock price are bounded while the investor follows the upper hedge. The considered discrete time model is approximated by a continuous time model that generalizes the classical geometrical Brownian motion.Asymptotic uniformity, Local limit theorem, Volatility

Phase diagram as a function of temperature and magnetic field for magnetic semiconductors

Using an extension of the Nagaev model of phase separation (E.L. Nagaev, and A.I. Podel'shchikov, Sov. Phys. JETP, 71 (1990) 1108), we calculate the phase diagram for degenerate antiferromagnetic semiconductors in the T-H plane for different current carrier densities. Both, wide-band semiconductors and 'double-exchange' materials, are investigated.Comment: 5 pages, 6 figures, RevTex, Accepted for publication in PR

A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options

A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer to the classical model of the geometric Brownian motion is established. It is of interest that in contrast with the discrete approximation, no guaranteed profit occurs in the approximated continuous time model.Asymptotic uniformity, Weak convergence in Skorokhod Space D[0,1]

A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded. The suggested diffusion approximation for the Markov chain allows establishing a convenient approximate formula for the studied characteristic.Ergodic and irreducible Markov chains, Stationary distribution, Local limit theorem, Upper hedge, Upper rational price

Annealed lower tails for the energy of a polymer

We consider the energy of a randomly charged polymer. We assume that only charges on the same site interact pairwise. We study the lower tails of the energy, when averaged over both randomness, in dimension three or more. As a corollary, we obtain the correct temperature-scale for the Gibbs measure.Comment: 27 page

Magnetic polarons in doped 1D antiferromagnetic chain

The structure of magnetic polarons (ferrons) is studied for an 1D antiferromagnetic chain doped by non-magnetic donor impurities. The conduction electrons are assumed to be bound by the impurities. Such a chain can be described as a set of ferrons at the antiferromagnetic background. We found that two types of ferrons can exist in the system. The ground state of the chain corresponds to the ferrons with the sizes of the order of the localization length of the electron near the impurity. The ferrons of the second type produce a more extended distortion of spins in the chain. They are stable within a finite domain of the system parameters and can be treated as excitations above the ground state. The ferrons in the excited states can appear in pairs only. The energy of the excited states decreases with the growth in density of impurities. This can be interpreted as a manifestation of an attractive interaction between ferrons.Comment: 6 pages, 5 figures, RevTex4, submitted to PR

The phase-separated states in antiferromagnetic semiconductors with polarizable lattice

The possibility of the slab or stripe phase separation (alternating ferromagnetic highly- conductive and insulating antiferromagnetic layers) is proved for isotropic degenerate antiferromagnetic semiconductors. This type of phase separation competes with the droplet phase separation (ferromagnetic droplets in the antiferromagnetic host or vice versa). The interaction of electrons with optical phonons alone cannot cause phase-separated state with alternating highly-conductive and insulating regions but it stabilizes the magnetic phase separation. The magnetostriction deformation of the lattice in the phase-separated state is investigated.Comment: 17 Pages, 1 EPS Figur

Ferromagnetic spin-polaron on complex lattices

We present a simpler derivation of the exact solution of a spin-polaron in a ferromagnet and generalize it to complex lattices and/or longer range exchange interactions. As a specific example, we analyze a two-dimensional MnO$_2$-like lattice (as in the ferromagnetic layers in LaMnO$_3$) and discuss the properties of the resulting spin-polaron in various regimes. At strong couplings the solution is reminiscent of the Zhang-Rice singlet, however the electronic wavefunction involved in the singlet is dependent on the momentum of the singlet, and multiple bands may appear.Comment: 12 pages, 7 figure