Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes

Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very complicated, involving many special functions and infinite summations. Instead, we show that it's much easier to compute the option value as an integral in Fourier space - and interpret this as a Parseval identity. The formula is especially simple because (i) it's a single integration for any payoff and (ii) the integrand is typically a compact expressions with just elementary functions. Our approach clarifies and generalizes previous work using characteristic functions and Fourier inversions. For example, we show how the residue calculus leads to several variation formulas, such as a well-known, but less numerically efficient, 'Black-Scholes style' formula for call options. The result applies to any European-style, simple or exotic option (without path-dependence) under any Lévy process with a known characteristic functionoption pricing, jump-diffusion, Levy processes, Fourier, characteristic function, transforms, residue, call options, discontinuous, jump processes, analytic characteristic, Levy-Khintchine, infinitely divisible, independent increments

Perturbation Treatment of High-Energy-Electron Diffraction from Imperfect Crystals

A modified-Bloch-wave expansion is used to develop a theory of high-energy-electron diffraction from imperfect crystals. To compute these new Bloch waves one must solve a linear hyperbolic system in n unknowns. Scattering among the Bloch waves is controlled by the matrix elements of the perturbing potential, and various approximations to this scattering are discussed. The hyperbolic system is transformed to normal form; in making this transformation, the unknown functions become the plane-wave amplitudes of the Darwin representation. The normal form reveals the region of determinacy of the system: a cone generated by the diffracted beams. The contraction of this cone to a line (the column approximation) is discussed in terms of the Bloch-wave scattering

Interference Effects in the Memory for Serially Presented Locations in Clark’s Nutcrackers, Nucifraga columbiana

The authors tested the spatial memory of serially presented locations in Clark’s nutcrackers (Nucifraga columbiana). Birds were serially presented with locations in an open room. The authors buried a seed in a sand-filled cup at each location and then tested nutcrackers for their memory for each location in the list by using the cluster method. For each item in the list, the authors opened a cluster of 6 holes. Accuracy was measured by how many tries were required for the bird to find the correct location within each cluster. In Experiments 1 and 2, the authors presented 2 lists of locations and found evidence for proactive and retroactive interference. Nutcrackers made errors by visiting the interfering list of locations during recovery of the target list. This finding demonstrates that nutcrackers are susceptible to proactive and retroactive interference during the recall of spatial information

Oscillator strengths and line widths of dipole-allowed transitions in ¹⁴N₂ between 89.7 and 93.5 nm

Line oscillator strengths in the 20 electric dipole-allowed bands of ¹⁴N₂ in the 89.7–93.5nm (111480–106950cm⁻¹) region are reported from photoabsorptionmeasurements at an instrumental resolution of ∼6mÅ (0.7cm⁻¹) full width at half maximum. The absorptionspectrum comprises transitions to vibrational levels of the 3pσᵤc′₄¹Σᵤ⁺, 3pπᵤc³Πᵤ, and 3sσgo₃¹ΠᵤRydberg states and of the b′¹Σᵤ⁺ and b¹Πᵤ valence states. The J dependences of band f values derived from the experimental line f values are reported as polynomials in J′(J′+1) and are extrapolated to J′=0 in order to facilitate comparisons with results of coupled Schrödinger-equation calculations. Most bands in this study are characterized by a strong J dependence of the band f values and display anomalous P-, Q-, and R-branch intensity patterns. Predissociation line widths, which are reported for 11 bands, also exhibit strong J dependences. The f value and line width patterns can inform current efforts to develop comprehensive spectroscopic models that incorporate rotational effects and predissociation mechanisms, and they are critical for the construction of realistic atmospheric radiative-transfer models.This work was supported in part by NASA Grant No. NNG05GA03G to Wellesley College and Australian Research Council Discovery Program Grant No. DP0558962

Changing Room Cues Reduces the Effects of Proactive Interference in Clark’s Nutcrackers, \u3ci\u3eNucifraga columbiana\u3c/i\u3e

To determine what factors are important for minimizing interference effects in spatial memory, Clark’s Nutcrackers, Nucifraga columbiana were tested for their spatial memory for two serial lists of locations per day. In this experiment two unique landmark sets were either different between List 1 and List 2 or the same. We found that Nutcrackers were most susceptible to interference when the landmark sets were the same. This study suggests that repeatedly testing animal memory in the same room, with the same cues, can hamper recall due to interference