An analysis between implied and realised volatility in the Greek Derivatives Market

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put option

Kinetics of glucose oxidase catalyzed electron transfer mediated by sulfur and selenium compounds

AbstractUnusually high electron transfer rates in Aspergillus niger glucose oxidase catalyzed oxidation of glucose using 5,6:11,12-Bis(dithio)tetracene (TTT), 1,2-dimethyltetraselenafulvalene (DMTSF) and tetrathiafulvalene (TTF) were observed. At pH 7.0 oxidation rate constants (TN/Km) in the range from 1.0 · 107 to 8.7 · 107 M · s−1 were deduced from experimental data. One of the investigated mediators, DMTSF, has been used for electrocatalytical glucose oxidation on graphite at a potential of 0.3 V vs. a standard calomel electrode (SCE). The prepared bioelectrodes have a sensitivity of 1.3 μA/(cm2 · mM), a pH optimum at 6.5-7.0, and a linear range which covers the relevant range for monitoring physiological levels of glucose. The bioelectrodes are stable for more than one month

Noise Kernel and Stress Energy Bi-Tensor of Quantum Fields in Hot Flat Space and Gaussian Approximation in the Optical Schwarzschild Metric

Continuing our investigation of the regularization of the noise kernel in curved spacetimes [N. G. Phillips and B. L. Hu, Phys. Rev. D {\bf 63}, 104001 (2001)] we adopt the modified point separation scheme for the class of optical spacetimes using the Gaussian approximation for the Green functions a la Bekenstein-Parker-Page. In the first example we derive the regularized noise kernel for a thermal field in flat space. It is useful for black hole nucleation considerations. In the second example of an optical Schwarzschild spacetime we obtain a finite expression for the noise kernel at the horizon and recover the hot flat space result at infinity. Knowledge of the noise kernel is essential for studying issues related to black hole horizon fluctuations and Hawking radiation backreaction. We show that the Gaussian approximated Green function which works surprisingly well for the stress tensor at the Schwarzschild horizon produces significant error in the noise kernel there. We identify the failure as occurring at the fourth covariant derivative order.Comment: 21 pages, RevTeX

Kinetics of Ordering in Fluctuation-Driven First-Order Transitions: Simulations and Dynamical Renormalization

Many systems where interactions compete with each other or with constraints are well described by a model first introduced by Brazovskii. Such systems include block copolymers, alloys with modulated phases, Rayleigh-Benard Cells and type-I superconductors. The hallmark of this model is that the fluctuation spectrum is isotropic and has a minimum at a nonzero wave vector represented by the surface of a d-dimensional hyper-sphere. It was shown by Brazovskii that the fluctuations change the free energy structure from a $\phi ^{4}$ to a $\phi ^{6}$ form with the disordered state metastable for all quench depths. The transition from the disordered to the periodic, lamellar structure changes from second order to first order and suggests that the dynamics is governed by nucleation. Using numerical simulations we have confirmed that the equilibrium free energy function is indeed of a $\phi ^{6}$ form. A study of the dynamics, however, shows that, following a deep quench, the dynamics is described by unstable growth rather than nucleation. A dynamical calculation, based on a generalization of the Brazovskii calculations shows that the disordered state can remain unstable for a long time following the quench.Comment: 18 pages, 15 figures submitted to PR

Method to compute the stress-energy tensor for the massless spin 1/2 field in a general static spherically symmetric spacetime

A method for computing the stress-energy tensor for the quantized, massless, spin 1/2 field in a general static spherically symmetric spacetime is presented. The field can be in a zero temperature state or a non-zero temperature thermal state. An expression for the full renormalized stress-energy tensor is derived. It consists of a sum of two tensors both of which are conserved. One tensor is written in terms of the modes of the quantized field and has zero trace. In most cases it must be computed numerically. The other tensor does not explicitly depend on the modes and has a trace equal to the trace anomaly. It can be used as an analytic approximation for the stress-energy tensor and is equivalent to other approximations that have been made for the stress-energy tensor of the massless spin 1/2 field in static spherically symmetric spacetimes.Comment: 34 pages, no figure

Gravitons in One-Loop Quantum Cosmology: Correspondence Between Covariant and Non-Covariant Formalisms

The discrepancy between the results of covariant and non-covariant one-loop calculations for higher-spin fields in quantum cosmology is analyzed. A detailed mode-by-mode study of perturbative quantum gravity about a flat Euclidean background bounded by two concentric 3-spheres, including non-physical degrees of freedom and ghost modes, leads to one-loop amplitudes in agreement with the covariant Schwinger-DeWitt method. This calculation provides the generalization of a previous analysis of fermionic fields and electromagnetic fields at one-loop about flat Euclidean backgrounds admitting a well-defined 3+1 decomposition.Comment: 29 pages, latex, recently appearing in Physical Review D, volume 50, pages 6329-6337, November 1994. The authors apologize for the delay in circulating the paper, due to technical problems now fixe

Gutenberg Richter and Characteristic Earthquake Behavior in Simple Mean-Field Models of Heterogeneous Faults

The statistics of earthquakes in a heterogeneous fault zone is studied analytically and numerically in the mean field version of a model for a segmented fault system in a three-dimensional elastic solid. The studies focus on the interplay between the roles of disorder, dynamical effects, and driving mechanisms. A two-parameter phase diagram is found, spanned by the amplitude of dynamical weakening (or ``overshoot'') effects (epsilon) and the normal distance (L) of the driving forces from the fault. In general, small epsilon and small L are found to produce Gutenberg-Richter type power law statistics with an exponential cutoff, while large epsilon and large L lead to a distribution of small events combined with characteristic system-size events. In a certain parameter regime the behavior is bistable, with transitions back and forth from one phase to the other on time scales determined by the fault size and other model parameters. The implications for realistic earthquake statistics are discussed.Comment: 21 pages, RevTex, 6 figures (ps, eps

Inter-comparison of the g-, f- and p-modes calculated using different oscillation codes for a given stellar model

In order to make astroseismology a powerful tool to explore stellar interiors, different numerical codes should give the same oscillation frequencies for the same input physics. This work is devoted to test, compare and, if needed, optimize the seismic codes used to calculate the eigenfrequencies to be finally compared with observations. The oscillation codes of nine research groups in the field have been used in this study. The same physics has been imposed for all the codes in order to isolate the non-physical dependence of any possible difference. Two equilibrium models with different grids, 2172 and 4042 mesh points, have been used, and the latter model includes an explicit modelling of semiconvection just outside the convective core. Comparing the results for these two models illustrates the effect of the number of mesh points and their distribution in particularly critical parts of the model, such as the steep composition gradient outside the convective core. A comprehensive study of the frequency differences found for the different codes is given as well. These differences are mainly due to the use of different numerical integration schemes. The use of a second-order integration scheme plus a Richardson extrapolation provides similar results to a fourth-order integration scheme. The proper numerical description of the Brunt-Vaisala frequency in the equilibrium model is also critical for some modes. An unexpected result of this study is the high sensitivity of the frequency differences to the inconsistent use of values of the gravitational constant (G) in the oscillation codes, within the range of the experimentally determined ones, which differ from the value used to compute the equilibrium model.Comment: 18 pages, 34 figure

Casimir Effect, Achucarro-Ortiz Black Hole and the Cosmological Constant

We treat the two-dimensional Achucarro-Ortiz black hole (also known as (1+1) dilatonic black hole) as a Casimir-type system. The stress tensor of a massless scalar field satisfying Dirichlet boundary conditions on two one-dimensional "walls" ("Dirichlet walls") is explicitly calculated in three different vacua. Without employing known regularization techniques, the expression in each vacuum for the stress tensor is reached by using the Wald's axioms. Finally, within this asymptotically non-flat gravitational background, it is shown that the equilibrium of the configurations, obtained by setting Casimir force to zero, is controlled by the cosmological constant.Comment: 20 pages, LaTeX, minor corrections, comments and clarifications added, version to appear in Phys. Rev.

Relativistic Gauge Conditions in Quantum Cosmology

This paper studies the quantization of the electromagnetic field on a flat Euclidean background with boundaries. One-loop scaling factors are evaluated for the one-boundary and two-boundary backgrounds. The mode-by-mode analysis of Faddeev-Popov quantum amplitudes is performed by using zeta-function regularization, and is compared with the space-time covariant evaluation of the same amplitudes. It is shown that a particular gauge condition exists for which the corresponding operator matrix acting on gauge modes is in diagonal form from the beginning. Moreover, various relativistic gauge conditions are studied in detail, to investigate the gauge invariance of the perturbative quantum theory.Comment: 26 pages, plain TeX, no figure