No-arbitrage bounds for the forward smile given marginals

We explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation scheme to reduce its dimensionality and hence its complexity. Alternatively, one can consider the dual problem, consisting in finding optimal martingale measures under which the upper and the lower bounds are attained. Semi-analytical solutions to this dual problem were proposed by Hobson and Klimmek (2013) and by Hobson and Neuberger (2008). We recast this dual approach as a finite dimensional linear programme, and reconcile numerically, in the Black-Scholes and in the Heston model, the two approaches.Comment: 20 pages, 20 figure

High-brightness seven-octave carrier envelope phase-stable light source

High-brightness sources of coherent and few-cycle-duration light waveforms with spectral coverage from the UV to the THz would offer unprecedented versatility and opportunities for a spectacular range of applications from bio-chemical sensing, to time-resolved and nonlinear spectroscopy, to attosecond light-wave electronics. Combinations of various sources with frequency conversion and supercontinuum generation can provide relatively large spectral coverage, but many applications require much broader spectral range and low-jitter synchronization for time-domain measurements. Here, we present a carrier-envelope-phase stable light source, seeded by a mid-IR frequency comb, with simultaneous spectral coverage across 7 optical octaves, from the UV (340 nm) into the THz (40,000 nm). Combining soliton self-compression and dispersive wave generation in an anti-resonant-reflection photonic crystal fibre with intra-pulse difference frequency generation in BaGa2GeSe6, the spectral brightness is 2-5 orders of magnitude above synchrotron sources. This enables high-dynamic-range spectroscopies and provides enticing prospects for attosecond physics and material sciences.Comment: 4 figure

Method of self-consistent evaluation of absolute emission probabilities of particles and gamma rays

In assumption of well installed decay scheme the method provides a) exact balance relationships, b) lower (compared to the traditional techniques) uncertainties of recommended absolute emission probabilities of particles and gamma rays, c) evaluation of correlations between the recommended emission probabilities (for the same and different decay modes). Application of the method for the decay data evaluation for even curium isotopes led to paradoxical results. The multidimensional confidence regions for the probabilities of the most intensive alpha transitions constructed on the basis of present and the ENDF/B-VII.1, JEFF-3.1, DDEP evaluations are inconsistent whereas the confidence intervals for the evaluated probabilities of single transitions agree with each other

Efficient generation of few-cycle pulses beyond 10 μm from an optical parametric amplifier pumped by a 1-µm laser system

Nonlinear vibrational spectroscopy profits from broadband sources emitting in the molecular fingerprint region. Yet, broadband lasers operating at wavelengths above 7 μm have been lacking, while traditional cascaded parametric frequency down-conversion schemes suffer from exceedingly low conversion efficiencies. Here we present efficient, direct frequency down-conversion of femtosecond 100-kHz, 1.03-μm pulses to the mid-infrared from 7.5 to 13.3 μm in a supercontinuum-seeded, tunable, single-stage optical parametric amplifier based on the wide-bandgap material Cd0.65Hg0.35Ga2S4. The amplifier delivers near transform-limited, few-cycle pulses with an average power > 30 mW at center wavelengths between 8.8 and 10.6 μm, at conversion efficiencies far surpassing that of optical parametric amplification followed by difference-frequency generation or intrapulse difference-frequency generation. The pulse duration at 10.6 μm is 101 fs corresponding to 2.9 optical cycles with a spectral coverage of 760–1160 cm−1. CdxHg1−xGa2S4 is an attractive alternative to LiGaS2 and BaGa4S7 in small-scale, Yb-laser-pumped, few-cycle mid-infrared optical parametric amplifiers and offers a much higher nonlinear figure of merit compared to those materials. Leveraging the inherent spatial variation of composition in CdxHg1−xGa2S4, an approach is proposed to give access to a significant fraction of the molecular fingerprint region using a single crystal at a fixed phase matching angle.Peer Reviewe

Investigation of the influence of water-gas exposure modes on the efficiency of oil displacement

The purpose of the work is to analyze the efficiency of oil displacement by various agents, such as water and gas, in different modes. The methods and technologies used to increase oil recovery are considered, as well as the influence of various parameters on the efficiency of the process.The authors describe in more detail the method of water-gas exposure (VGV) using pumping-ejector systems (PES) to provide a triple effect on oil reservoirs by simultaneous or alternate injection of water and gas. Theoretical and experimental methods were used to conduct the study. The study and analysis of scientific sources on the issue of evaluating the effectiveness of oil displacement became the first stage of the study. Then laboratory tests were carried out to assess the effectiveness of oil displacement by various agents. Based on the results of the work done, it was concluded that the degree of influence of wetting processes on the final result of displacement is an extremely important factor. The uniqueness of this article lies in the study of the possibilities of using multithreaded ejectors to increase the efficiency of extraction of hydrocarbones

Optical, vibrational, thermal, electrical, damage and phase-matching properties of lithium thioindate

Lithium thioindate (LiInS$_{2}$) is a new nonlinear chalcogenide biaxial material transparent from 0.4 to 12 $\mu$m, that has been successfully grown in large sizes and good optical quality. We report on new physical properties that are relevant for laser and nonlinear optics applications. With respect to AgGaS(e)$_2$ ternary chalcopyrite materials, LiInS$_{2}$ displays a nearly-isotropic thermal expansion behavior, a 5-times larger thermal conductivity associated with high optical damage thresholds, and an extremely low intensity-dependent absorption allowing direct high-power downconversion from the near-IR to the deep mid-IR. Continuous-wave difference-frequency generation (5-11$\mu$m) of Ti:sapphire laser sources is reported for the first time.Comment: 27 pages, 21 figures. Replaces the previous preprint (physics/0307082) with the final version as it will be published in J. Opt. Soc. Am. B 21(11) (Nov. 2004 issue