The valuation of clean spread options: linking electricity, emissions and fuels

The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of a structural model as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process

Finite size effects and the order of a phase transition in fragmenting nuclear systems

We discuss the implications of finite size effects on the determination of the order of a phase transition which may occur in infinite systems. We introduce a specific model to which we apply different tests. They are aimed to characterise the smoothed transition observed in a finite system. We show that the microcanonical ensemble may be a useful framework for the determination of the nature of such transitions.Comment: LateX, 5 pages, 5 figures; Fig. 1 change

Harmonic crossover exponents in O(n) models with the pseudo-epsilon expansion approach

We determine the crossover exponents associated with the traceless tensorial quadratic field, the third- and fourth-harmonic operators for O(n) vector models by re-analyzing the existing six-loop fixed dimension series with pseudo-epsilon expansion. Within this approach we obtain the most accurate theoretical estimates that are in optimum agreement with other theoretical and experimental results.Comment: 12 pages, 1 figure. Final version accepted for publicatio

Stabilization of internal space in noncommutative multidimensional cosmology

We study the cosmological aspects of a noncommutative, multidimensional universe where the matter source is assumed to be a scalar field which does not commute with the internal scale factor. We show that such noncommutativity results in the internal dimensions being stabilizedComment: 8 pages, 1 figure, to appear in IJMP

Viscosity solutions of systems of PDEs with interconnected obstacles and Multi modes switching problems

This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is connected with the valuation of a power plant in the energy market. The main tool is the notion of systems of reflected BSDEs with oblique reflection.Comment: 36 page

Anderson Localization, Non-linearity and Stable Genetic Diversity

In many models of genotypic evolution, the vector of genotype populations satisfies a system of linear ordinary differential equations. This system of equations models a competition between differential replication rates (fitness) and mutation. Mutation operates as a generalized diffusion process on genotype space. In the large time asymptotics, the replication term tends to produce a single dominant quasispecies, unless the mutation rate is too high, in which case the populations of different genotypes becomes de-localized. We introduce a more macroscopic picture of genotypic evolution wherein a random replication term in the linear model displays features analogous to Anderson localization. When coupled with non-linearities that limit the population of any given genotype, we obtain a model whose large time asymptotics display stable genotypic diversityComment: 25 pages, 8 Figure

The background from single electromagnetic subcascades for a stereo system of air Cherenkov telescopes

The MAGIC experiment, a very large Imaging Air Cherenkov Telescope (IACT) with sensitivity to low energy (E < 100 GeV) VHE gamma rays, has been operated since 2004. It has been found that the gamma/hadron separation in IACTs becomes much more difficult below 100 GeV [Albert et al 2008] A system of two large telescopes may eventually be triggered by hadronic events containing Cherenkov light from only one electromagnetic subcascade or two gamma subcascades, which are products of the single pi^0 decay. This is a possible reason for the deterioration of the experiment's sensitivity below 100 GeV. In this paper a system of two MAGIC telescopes working in stereoscopic mode is studied using Monte Carlo simulations. The detected images have similar shapes to that of primary gamma-rays and they have small sizes (mainly below 400 photoelectrons (p.e.)) which correspond to an energy of primary gamma-rays below 100 GeV. The background from single or two electromagnetic subcascdes is concentrated at energies below 200 GeV. Finally the number of background events is compared to the number of VHE gamma-ray excess events from the Crab Nebula. The investigated background survives simple cuts for sizes below 250 p.e. and thus the experiment's sensitivity deteriorates at lower energies.Comment: 15 pages, 7 figures, published in Journ.of Phys.