Role of mean free path in spatial phase correlation and nodal screening

We study the spatial correlation function of the phase and its derivative, and related, fluctuations of topological charge, in two and three dimensional random media described by Gaussian statistics. We investigate their dependence on the scattering mean free path.Comment: 7 pages, 6 figures. submitted to Europhys. Let

Monte Carlo simulations to understand 'breathing' phenomenon of metal organic frameworks

Metal Organic Frameworks (MOFs) are a new class of porous materials synthesized from metal clusters connected by organic linkers. One of the promising applications of MOFs is carbon capture from fuel gasses, where CO2 is adsorbed in the pores of the material. In this presentation, we explore framework flexibility as a possible mechanism for selective and reversible CO2 adsorption by means of Monte Carlo simulations. Most MOFs are fairly rigid structures, in the sense that they undergo small changes in volume when external stress is applied. Typical volume changes are of the order of a few percent only. Nevertheless, some MOF materials have an unexpectedly high flexibility and impressively shrink or swell under pressure, temperature or adsorption changes. A well-known example is MIL-53, a structure that shows volume changes of over 40%. In an adsorption experiment, the gas pressure is gradually increased while the amount of adsorbed material in the pores is measured. For MIL-53, the measured adsorption isotherm shows interesting features: when MIL-53 is brought into contact with a gas at increasing pressure, the framework's pores constrict, while at even higher pressures, the pores return to their original geometry. The process, referred to as "breathing", is reversible and shows hysteresis. Based on Monte Carlo runs, we have constructed a mean-field model to gain insight in the thermodynamics of the breathing. The model shows that the behavior is the result of the different factors at play in a (Nmof,μ,P,T) ensemble (constant amount of MOF material, constant gas chemical potential, constant gas pressure, constant temperature), i.e. the entropy, the pressure and the resistance given by the adsorbed particles. We further investigate how the MOFs' flexibility could be exploited to design an efficient pressure swing setup

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of uncertainty which drive dividend rates and volatility, and derive equilibrium asset prices, derivative prices and optimal exercise boundaries in a general equilibrium model. The theoretical models yield fairly complex expressions which are difficult to estimate. We therefore adopt a nonparametric approach which enables us to investigate reduced forms. Indeed, we use nonparametric methods to estimate call prices and exercise boundaries conditional on dividends and volatility. Since the latter is a latent process, we propose several approaches, notably using EGARCH filtered estimates, implied and historical volatilities. The nonparametric approach allows us to test whether call prices and exercise decisions are primarily driven by dividends, as has been advocated by Harvey and Whaley (1992a,b) and Fleming and Whaley (1994) for the OEX contract, or whether stochastic volatility complements dividend uncertainty. We find that dividends alone do not account for all aspects of call option pricing and exercise decisions, suggesting a need to include stochastic volatility. Cet article examine les contrats optionnels de type américain lorsque l'actif sous-jacent paie des dividendes et a une volatilité stochastiques. Nous présentons une discussion complète des fondations théoriques de l'évaluation des options américaines et de leurs frontières d'exercice. Nous démontrons leur dépendance par rapport aux diverses sources d'incertitude qui déterminent le taux de dividendes et la volatilité, et dérivons les prix d'équilibre des actifs, titres dérivés ainsi que les politiques optimales d'exercice dans un modèle d'équilibre général. Les modèles théoriques conduisent à des expressions complexes qui sont difficiles à estimer. C'est pourquoi nous adoptons une approche non-paramétrique qui permet d'examiner des formes réduites. Nous utilisons des méthodes non-paramétriques pour estimer les prix d'options à l'achat et les frontières d'exercice conditionnelles aux dividendes et à la volatilité. Puisque cette dernière est un processus latent nous proposons plusieurs approches, fondées en particulier sur des estimateurs-filtres EGARCH, des volatilités implicites et historiques. L'approche non-paramétrique nous permet de tester si les prix d'options et les décisions d'exercice sont principalement déterminés par les dividendes, comme suggéré par Harvey et Whaley (1992a, b) et Fleming et Whaley (1994) pour le contrat OEX, ou si la volatilité stochastique complémente l'incertitude sur les dividendes. Nous établissons que les dividendes seuls ne rendent pas compte de tous les aspects de l'évaluation de ces options et des décisions d'exercice, ce qui suggère la nécessité d'inclure la volatilité stochastique.Option Pricing, Derivative Securities, OEX Contract, Kernel Estimation, Prix d'options, titres dérivés, contrat OEX, estimation par méthode de noyau

Nonparametric Estimation of American Options Exercise Boundaries and Call Prices

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this paper is to rely on nonparametric statistical methods using market data to estimate the call prices and the exercise boundaries. The paper focuses on the daily market option prices and exercise data on the S&P100 contract. A comparison is made with parametric constant volatility model-based prices and exercise boundaries. We find large discrepancies between the parametric and nonparametric call prices and exercise boundaries. Contrairement à ce qu'il est possible d'obtenir dans un contexte d'évaluation de titres dérivés de type européen, il n'existe pas de formule analytique simple pour évaluer les options américaines, même si la volatilité de l'actif sous-jacent est supposée constante. La possibilité d'exercice prématuré qu'offre ce type de contrat complique considérablement son évaluation. La démarche adoptée dans cette étude consiste à dériver les prix d'option et les frontières d'exercice à partir de données financières, utilisées dans un cadre d'analyse statistique non-paramétrique. Plus particulièrement, l'étude utilise les observations quotidiennes du prix du contrat sur l'indice S&P100 ainsi que les observations sur l'exercice de ce contrat. Les résultats sont comparés à ceux obtenus à l'aide de techniques paramétriques dans un modèle où la volatilité est supposée constante. La conclusion est qu'il existe des différences stratégiques entre les prédictions des deux modèles, aussi bien en ce qui concerne le prix de l'option que la politique d'exercice qui lui est associée.Option Pricing, Derivative Securities, OEX Contract, Kernel Estimation, Prix d'options, titres dérivés, contrat OEX, estimation par méthode de noyau

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

Cet article examine les contrats optionnels de type américain lorsque l'actif sous-jacent paie des dividendes et a une volatilité stochastiques. Nous présentons une discussion complète des fondations théoriques de l'évaluation des options américaines et de leurs frontières d'exercice. Nous démontrons leur dépendance par rapport aux diverses sources d'incertitude qui déterminent le taux de dividendes et la volatilité, et dérivons les prix d'équilibre des actifs, titres dérivés ainsi que les politiques optimales d'exercice dans un modèle d'équilibre général. Les modèles théoriques conduisent à des expressions complexes qui sont difficiles à estimer. C'est pourquoi nous adoptons une approche non-paramétrique qui permet d'examiner des formes réduites. Nous utilisons des méthodes non-paramétriques pour estimer les prix d'options à l'achat et les frontières d'exercice conditionnelles aux dividendes et à la volatilité. Puisque cette dernière est un processus latent nous proposons plusieurs approches, fondées en particulier sur des estimateurs-filtres EGARCH, des volatilités implicites et historiques. L'approche non-paramétrique nous permet de tester si les prix d'options et les décisions d'exercice sont principalement déterminés par les dividendes, comme suggéré par Harvey et Whaley (1992a, b) et Fleming et Whaley (1994) pour le contrat OEX, ou si la volatilité stochastique complémente l'incertitude sur les dividendes. Nous établissons que les dividendes seuls ne rendent pas compte de tous les aspects de l'évaluation de ces options et des décisions d'exercice, ce qui suggère la nécessité d'inclure la volatilité stochastique.In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of uncertainty which drive dividend rates and volatility, and derive equilibrium asset prices, derivative prices and optimal exercise boundaries in a general equilibrium model. The theoretical models yield fairly complex expressions which are difficult to estimate. We therefore adopt a nonparametric approach which enables us to investigate reduced forms. Indeed, we use nonparametric methods to estimate call prices and exercise boundaries conditional on dividends and volatility. Since the latter is a latent process, we propose several approaches, notably using EGARCH filtered estimates, implied and historical volatilities. The nonparametric approach allows us to test whether call prices and exercise decisions are primarily driven by dividends, as has been advocated by Harvey and Whaley (1992a,b) and Fleming and Whaley (1994) for the OEX contract, or whether stochastic volatility complements dividend uncertainty. We find that dividends alone do not account for all aspects of call option pricing and exercise decisions, suggesting a need to include stochastic volatility

Exploring new frontiers in modeling complex zeolite-catalyzed reactions using advanced molecular dynamics techniques

We show the potential of advanced molecular dynamics techniques to obtain insight into the complex MTO process by thoroughly studying proton mobility and mapping free energy surfaces of reaction steps at high temperature. The applied methodology can be used to unravel any complex zeolitic process at the nanometer scale level

Membrane permeability of small molecules from unbiased molecular dynamics simulations

Permeation of many small molecules through lipid bilayers can be directly observed in molecular dynamics simulations on the nano- and microsecond timescale. While unbiased simulations provide an unobstructed view of the permeation process, their feasibility for computing permeability coefficients depends on various factors that differ for each permeant. The present work studies three small molecules for which unbiased simulations of permeation are feasible within less than a microsecond, one hydrophobic (oxygen), one hydrophilic (water), and one amphiphilic (ethanol). Permeabilities are computed using two approaches: counting methods and a maximum-likelihood estimation for the inhomogeneous solubility diffusion (ISD) model. Counting methods yield nearly model-free estimates of the permeability for all three permeants. While the ISD-based approach is reasonable for oxygen, it lacks precision for water due to insufficient sampling and results in misleading estimates for ethanol due to invalid model assumptions. It is also demonstrated that simulations using a Langevin thermostat with collision frequencies of 1/ps and 5/ps yield oxygen permeabilities and diffusion constants that are lower than those using Nose-Hoover by statistically significant margins. In contrast, permeabilities from trajectories generated with Nose-Hoover and the microcanonical ensemble do not show statistically significant differences. As molecular simulations become more affordable and accurate, calculation of permeability for an expanding range of molecules will be feasible using unbiased simulations. The present work summarizes theoretical underpinnings, identifies pitfalls, and develops best practices for such simulations

Syngenetic sand veins and anti-syngenetic sand wedges, Tuktoyaktuk Coastlands, western Arctic Canada

Sand-sheet deposits of full-glacial age in the Tuktoyaktuk Coastlands, western Arctic Canada, contain syngenetic sand veins 1-21 cm wide and sometimes exceeding 9 m in height. Their tall and narrow, chimney-like morphology differs from that of known syngenetic ice wedges and indicates an unusually close balance between the rate of sand-sheet aggradation and the frequency of thermal-contraction cracking. The sand sheets also contain rejuvenated (syngenetic) sand wedges that have grown upward from an erosion surface. By contrast, sand sheets of postglacial age contain few or sometimes no intraformational sand veins and wedges, suggesting that the climatic conditions were unfavourable for thermal-contraction cracking. Beneath a postglacial sand sheet near Johnson Bay, sand wedges with unusually wide tops (3.9 m) extend down from a prominent erosion surface. The wedges grew vertically downward during deflation of the ground surface, and represent anti-syngenetic wedges. The distribution of sand veins and wedges within the sand sheets indicates that the existence of continuous permafrost during sand-sheet aggradation can be inferred confidently only during full-glacial conditions