Option Pricing in Multivariate Stochastic Volatility Models of OU Type

We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable. First we derive the characteristic function and give conditions that ensure its analyticity and absolute integrability in some open complex strip around zero. Therefore we can use Fourier methods to compute the prices of multi-asset options efficiently. To show the applicability of our results, we propose a concrete specification, the OU-Wishart model, where the dynamics of each individual asset coincide with the popular Gamma-OU BNS model. This model can be well calibrated to market prices, which we illustrate with an example using options on the exchange rates of some major currencies. Finally, we show that covariance swaps can also be priced in closed form.Comment: 28 pages, 5 figures, to appear in SIAM Journal on Financial Mathematic

Accuracy Assessment of the 2006 National Land Cover Database Percent Impervious Dataset

An impervious surface is any surface that prevents water from infiltrating the ground. As impervious surface area increases within watersheds, stream networks and water quality are negatively impacted. The Multi-Resolution Land Characteristic Consortium developed a percent impervious dataset using Landsat imagery as part of the 2006 National Land Cover Database. This percent impervious dataset estimates imperviousness for each 30-meter cell in the land cover database. The percent impervious dataset permits study of impervious surfaces, can be used to identify impacted or critical areas, and allows for development of impact mitigation plans; however, the accuracy of this dataset is unknown. To determine the accuracy of the 2006 percent impervious dataset, reference data were digitized from one-foot digital aerial imagery for three study areas in Arkansas, USA. Digitized reference data were compared to percent impervious dataset estimates of imperviousness at multiple 900m2 , 8,100m2 , and 22,500m2 sample grids to determine if accuracy varied by ground area. Analyses showed percent impervious estimates and digitized reference data differ modestly; however, as ground area increases, percent impervious estimates and reference data match more closely. These findings suggest that the percent impervious dataset is useful for planning purposes for ground areas of at least 2.25ha

Interaction induced dimerization in zigzag single wall carbon nanotubes

We derive a low-energy effective model of metallic zigzag carbon nanotubes at half filling. We show that there are three important features characterizing the low-energy properties of these systems: the long-range Coulomb interaction, umklapp scattering and an explicit dimerization generated by interactions. The ratio of the dimerization induced gap and the Mott gap induced by the umklapp interactions is dependent on the radius of the nanotube and can drive the system through a quantum phase transition with SU(2)_1 quantum symmetry. We consider the physical properties of the phases on either side of this transition which should be relevant for realistic nanotubes.Comment: 8 pages, 5 figure

The effect of a local perturbation in a fermionic ladder

We study the effect of a local external potential on a system of two parallel spin-polarized nanowires placed close to each other. For single channel nanowires with repulsive interaction we find that transport properties of the system are highly sensitive to the transverse gradient of the perturbation: the asymmetric part completely reflects the electrons leading to vanishing conductance at zero temperature, while the flat potential remains transparent. We envisage a possible application of this unusual property in the sensitive measurement of local potential field gradients.Comment: 4+ pages, 2 figures, typos correcte

Timelike self-similar spherically symmetric perfect-fluid models

Einstein's field equations for timelike self-similar spherically symmetric perfect-fluid models are investigated. The field equations are rewritten as a first-order system of autonomous differential equations. Dimensionless variables are chosen in such a way that the number of equations in the coupled system is reduced as far as possible and so that the reduced phase space becomes compact and regular. The system is subsequently analysed qualitatively using the theory of dynamical systems.Comment: 23 pages, 6 eps-figure

The identification and control of processes with time delay

The identification of the frequency response and process model parameters of systems with time delay using frequency domain techniques is evaluated in this paper. The performance of both Fourier Transform and Power Spectral Density techniques is considered. The benefits of employing modern model based design and delay compensation techniques, based on the identified process data, are assessed