Robust pricing and hedging of double no-touch options

Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of these options based on the prices of more liquidly traded options (call and digital call options). Key steps are the construction of super- and sub-hedging strategies to establish the bounds, and the use of Skorokhod embedding techniques to show the bounds are the best possible. In addition to establishing rigorous bounds, we consider carefully what is meant by arbitrage in settings where there is no {\it a priori} known probability measure. We discuss two natural extensions of the notion of arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are needed to establish equivalence between the lack of arbitrage and the existence of a market model.Comment: 32 pages, 5 figure

Multidimensional collaboration; reflections on action research in a clinical context

This paper reflects on the challenges and benefits of multidimensional collaboration in an action research study to evaluate and improve preoperative education for patients awaiting colorectal surgery. Three cycles of planning, acting,observing and reflecting were designed to evaluate practice and implement change in this interactive setting, calling for specific and distinct collaborations. Data collection includes: observing educational interactions; administering patient evaluation questionnaires; interviewing healthcare staff, patients and carers; patient and carer focus groups; and examining written and audiovisual educational materials. The study revolves around and depends on multi-dimensional collaborations. Reflecting on these collaborations highlights the diversity of perspectives held by all those engaged in the study and enhances the action research lessons. Successfully maintaining the collaborations recognises the need for negotiation, inclusivity, comprehension, brokerage,and problem-solving. Managing the potential tensions is crucial to the successful implementation of changes introduced to practice and thus has important implications for patients’ well-being. This paper describes the experiences from an action research project involving new and specific collaborations, focusing on a particular healthcare setting. It exemplifies the challenges of the collaborative action research process and examines how both researchers and practitioners might reflect on the translation of theory into educational practices within a hospital colorectal department. Despite its context-specific features, the reflections on the types of challenges faced and lessons learned provide implications for action researchers in diverse healthcare settings across the world

Diffusion quantum Monte Carlo study of three-dimensional Wigner crystals

We report diffusion quantum Monte Carlo calculations of three-dimensional Wigner crystals in the density range r_s=100-150. We have tested different types of orbital for use in the approximate wave functions but none improve upon the simple Gaussian form. The Gaussian exponents are optimized by directly minimizing the diffusion quantum Monte Carlo energy. We have carefully investigated and sought to minimize the potential biases in our Monte Carlo results. We conclude that the uniform electron gas undergoes a transition from a ferromagnetic fluid to a body-centered-cubic Wigner crystal at r_s=106+/-1. The diffusion quantum Monte Carlo results are compared with those from Hartree-Fock and Hartree theory in order to understand the role played by exchange and correlation in Wigner crystals. We also study "floating" Wigner crystals and give results for their pair-correlation functions

Primordial black hole production due to preheating

During the preheating process at the end of inflation the amplification of field fluctuations can lead to the amplification of curvature perturbations. If the curvature perturbations on small scales are sufficiently large, primordial black holes (PBHs) will be overproduced. In this paper we study PBH production in the two-field preheating model with quadratic inflaton potential. We show that for many values of the inflaton mass m, and coupling g, small scale perturbations will be amplified sufficiently, before backreaction can shut off preheating, so that PBHs will be overproduced during the subsequent radiation dominated era.Comment: 5 pages, 3 eps figures. Minor changes to match version to appear in PRD as a rapid communicatio

Non linear excess conductivity of Bi2_2Sr2_2Can−1_{n-1}Cun_nO2n+4+x_{2n+4+x} (n = 1,2), thin films

The suppression of excess conductivity with electric field is studied for Bi$_2$Sr$_2$Ca$_{n-1}$Cu$_n$O$_{2n+4+x}$ ($n$ = 1, 2) thin films. A pulse-probe technique is used, which allows for an estimate of the sample temperature. The characteristic electric field for fluctuations suppression is found well below the expected value for all samples. For the $n=1$ material, a scaling of the excess conductivity with electric field and temperature is obtained, similar to the scaling under strong magnetic field

First Stars. I. Evolution without mass loss

The first generation of stars was formed from primordial gas. Numerical simulations suggest that the first stars were predominantly very massive, with typical masses M > 100 Mo. These stars were responsible for the reionization of the universe, the initial enrichment of the intergalactic medium with heavy elements, and other cosmological consequences. In this work, we study the structure of Zero Age Main Sequence stars for a wide mass and metallicity range and the evolution of 100, 150, 200, 250 and 300 Mo galactic and pregalactic Pop III very massive stars without mass loss, with metallicity Z=10E-6 and 10E-9, respectively. Using a stellar evolution code, a system of 10 equations together with boundary conditions are solved simultaneously. For the change of chemical composition, which determines the evolution of a star, a diffusion treatment for convection and semiconvection is used. A set of 30 nuclear reactions are solved simultaneously with the stellar structure and evolution equations. Several results on the main sequence, and during the hydrogen and helium burning phases, are described. Low metallicity massive stars are hotter and more compact and luminous than their metal enriched counterparts. Due to their high temperatures, pregalactic stars activate sooner the triple alpha reaction self-producing their own heavy elements. Both galactic and pregalactic stars are radiation pressure dominated and evolve below the Eddington luminosity limit with short lifetimes. The physical characteristics of the first stars have an important influence in predictions of the ionizing photon yields from the first luminous objects; also they develop large convective cores with important helium core masses which are important for explosion calculations.Comment: 17 pages, 24 figures, 2 table

Domain Walls in Two-Component Dynamical Lattices

We introduce domain-wall (DW) states in the bimodal discrete nonlinear Schr{\"{o}}dinger equation, in which the modes are coupled by cross phase modulation (XPM). By means of continuation from various initial patterns taken in the anti-continuum (AC) limit, we find a number of different solutions of the DW type, for which different stability scenarios are identified. In the case of strong XPM coupling, DW configurations contain a single mode at each end of the chain. The most fundamental solution of this type is found to be always stable. Another solution, which is generated by a different AC pattern, demonstrates behavior which is unusual for nonlinear dynamical lattices: it is unstable for small values of the coupling constant $C$ (which measures the ratio of the nonlinearity and coupling lengths), and becomes stable at larger $C$. Stable bound states of DWs are also found. DW configurations generated by more sophisticated AC patterns are identified as well, but they are either completely unstable, or are stable only at small values of $C$. In the case of weak XPM, a natural DW solution is the one which contains a combination of both polarizations, with the phase difference between them 0 and $\pi$ at the opposite ends of the lattice. This solution is unstable at all values of $C$, but the instability is very weak for large $C$, indicating stabilization as the continuum limit is approached. The stability of DWs is also verified by direct simulations, and the evolution of unstable DWs is simulated too; in particular, it is found that, in the weak-XPM system, the instability may give rise to a moving DW.Comment: 14 pages, 14 figures, Phys. Rev. E (in press

Spatial variations in lead isotopes, Tasman Element, eastern Australia

Lead isotope data from ore deposits and mineral occurrences in the Tasman Element of eastern Australia have been used to construct isotopic maps of this region. These maps exhibit systematic patterns in parameters derived from isotope ratios. The parameters include μ (238U/204Pb), as calculated using the Cumming and Richards (1975) lead evolution model, and the difference between true age of mineralisation and the Cumming and Richards lead isotope model age of mineralisation (Δt). Variations in μ coincide with boundaries at the orogen, subprovince and zone scales. The boundary between the Lachlan and New England orogens is accompanied by a decrease in μ, and within the Lachlan Orogen, the Central Subprovince is characterised by μ that is significantly higher than in the adjacent Eastern and Western subprovinces. Within the Eastern Subprovince, the Cu-Au-rich Macquarie Arc is characterised by significantly lower μ relative to adjacent rocks. The Macquarie Arc is also characterised by very high Δt (generally above 200 Myr). Other regions characterised by very high Δt include western Tasmania, the southeastern New England Orogen, and the Hodgkinson Province in northern Queensland. These anomalies are within a broad pattern of decreasing Δt from east to west, with Paleozoic deposits within or adjacent to Proterozoic crust characterised by Δt values of 50 Myr or below. The patterns in Δt are interpreted to reflect the presence of the two major tectonic components involved in the Paleozoic Tasman margin in Australia (cf., Münker, 2000): subducting proto-Pacific crust (Δt >150 Myr), and Proterozoic Australia crust (Δt < 50 Myr) on the over-riding plate. Proterozoic Australia crustal sources are interpreted to dominate the western parts of the Tasman Element and Proterozoic crust further to the west, whereas Pacific crustal sources are inferred to characterise western Tasmania and much of the eastern part of the Tasman Element. Contrasts in Δt between the Cambrian Mount Read Volcanics in western Tasmania and similar aged rocks in western Victoria and New South Wales make direct tectonic correlation between these rocks problematic

Comparison of s- and d-wave gap symmetry in nonequilibrium superconductivity

Recent application of ultrafast pump/probe optical techniques to superconductors has renewed interest in nonequilibrium superconductivity and the predictions that would be available for novel superconductors, such as the high-Tc cuprates. We have reexamined two of the classical models which have been used in the past to interpret nonequilibrium experiments with some success: the mu* model of Owen and Scalapino and the T* model of Parker. Predictions depend on pairing symmetry. For instance, the gap suppression due to excess quasiparticle density n in the mu* model, varies as n^{3/2} in d-wave as opposed to n for s-wave. Finally, we consider these models in the context of S-I-N tunneling and optical excitation experiments. While we confirm that recent pump/probe experiments in YBCO, as presently interpreted, are in conflict with d-wave pairing, we refute the further claim that they agree with s-wave.Comment: 14 pages, 11 figure

Sub-terahertz, microwaves and high energy emissions during the December 6, 2006 flare, at 18:40 UT

The presence of a solar burst spectral component with flux density increasing with frequency in the sub-terahertz range, spectrally separated from the well-known microwave spectral component, bring new possibilities to explore the flaring physical processes, both observational and theoretical. The solar event of 6 December 2006, starting at about 18:30 UT, exhibited a particularly well-defined double spectral structure, with the sub-THz spectral component detected at 212 and 405 GHz by SST and microwaves (1-18 GHz) observed by the Owens Valley Solar Array (OVSA). Emissions obtained by instruments in satellites are discussed with emphasis to ultra-violet (UV) obtained by the Transition Region And Coronal Explorer (TRACE), soft X-rays from the Geostationary Operational Environmental Satellites (GOES) and X- and gamma-rays from the Ramaty High Energy Solar Spectroscopic Imager (RHESSI). The sub-THz impulsive component had its closer temporal counterpart only in the higher energy X- and gamma-rays ranges. The spatial positions of the centers of emission at 212 GHz for the first flux enhancement were clearly displaced by more than one arc-minute from positions at the following phases. The observed sub-THz fluxes and burst source plasma parameters were found difficult to be reconciled to a purely thermal emission component. We discuss possible mechanisms to explain the double spectral components at microwaves and in the THz ranges.Comment: Accepted version for publication in Solar Physic