640 research outputs found
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 BiSrCaCuO (n = 1,2), thin films
The suppression of excess conductivity with electric field is studied for
BiSrCaCuO ( = 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 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 (which measures the
ratio of the nonlinearity and coupling lengths), and becomes stable at larger
. 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 . 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 at the
opposite ends of the lattice. This solution is unstable at all values of ,
but the instability is very weak for large , 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
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