Empirical pricing kernels obtained from the UK index options market

Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market

Delay-dependent robust stability of stochastic delay systems with Markovian switching

In recent years, stability of hybrid stochastic delay systems, one of the important issues in the study of stochastic systems, has received considerable attention. However, the existing results do not deal with the structure of the diffusion but estimate its upper bound, which induces conservatism. This paper studies delay-dependent robust stability of hybrid stochastic delay systems. A delay-dependent criterion for robust exponential stability of hybrid stochastic delay systems is presented in terms of linear matrix inequalities (LMIs), which exploits the structure of the diffusion. Numerical examples are given to verify the effectiveness and less conservativeness of the proposed method

Annealing-induced Fe oxide nanostructures on GaAs

We report the evolution of Fe oxide nanostructures on GaAs(100) upon pre- and post-growth annealing conditions. GaAs nanoscale pyramids were formed on the GaAs surface due to wet etching and thermal annealing. An 8.0-nm epitaxial Fe film was grown, oxidized, and annealed using a gradient temperature method. During the process the nanostripes were formed, and the evolution has been demonstrated using transmission and reflection high energy electron diffraction, and scanning electron microscopy. These nanostripes; exhibited uniaxial magnetic anisotropy. The formation of these nanostructures is attributed to surface anisotropy, which in addition could explain the observed uniaxial magnetic anisotropy

Parameter estimation of GOES precipitation index at different calibration timescales

We examined two techniques that adjust the parameters of the GOES Precipitation Index (GPI) by combining the polar microwave and the geosynchronous infrared observations at three frequencies: daily, pentad, and monthly. The first technique is the adjusted GPI (AGPI), and the second is the universally adjusted GPI (UAGPI). The study shows that rainfall estimates can be improved by frequent calibrations providing there is sufficient superior (microwave) rainfall sampling within the calibration time and space domain. For this work, daily and pentad calibrations produce monthly rainfall estimates almost as good as monthly calibration. The daily calibration produced better daily rainfall estimates than pentad and monthly calibration, but it generates similar pentad rainfall estimates to these of the pentad calibration. The monthly calibrated scheme is not suitable for the daily and pentad rainfall estimates. Under the current twice-per-day sampling rate of polar-orbiting microwave observations, the pentad calibration scheme is suggested for the monthly, pentad, and daily rainfall. The potentials of applying the UAGPI and the AGPI techniques for daily rainfall estimation are also investigated. Copyright 2000 by the American Geophysical Union

Isovector channel of quark-meson-coupling model and its effect on symmetry energy

The non-relativistic approximation of the quark-meson-coupling model has been discussed and compared with the Skyrme-Hartree-Fock model which includes spin exchanges. Calculations show that the spin-exchange interaction has important effect on the descriptions of finite nuclei and nuclear matter through the Fock exchange. Also in the quark-meson-coupling model, it is the Fock exchange that leads to a nonlinear density-dependent isovector channel and changes the density-dependent behavior of the symmetry energy.Comment: 20 pages, 9 figures and 1 table, accepted for publication in Nuclear Physics