Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

Yukawa Structure with Maximal Predictability

A simple Ansatz for the quark mass matrices is considered, based on the assumption of a power structure for the matrix elements and the requirement of maximal predictability. A good fit to the present experimental data is obtained and the position of the vertex of the unitarity triangle, i.e. (\bar{\rho},\bar{\eta}), is predicted.Comment: 13 pages, 2 EPS figures, some modifications and references added; version to appear in Phys. Lett.

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

Transit Timing Analysis in the HAT-P-32 System

We present the results of 45 transit observations obtained for the transiting exoplanet HATP- 32b. The transits have been observed using several telescopes mainly throughout the YETI (Young Exoplanet Transit Initiative) network. In 25 cases, complete transit light curves with a timing precision better than 1.4 min have been obtained. These light curves have been used to refine the system properties, namely inclination i, planet-to-star radius ratio Rp/Rs, and the ratio between the semimajor axis and the stellar radius a/Rs. First analyses by Hartman et al. suggests the existence of a second planet in the system, thus we tried to find an additional body using the transit timing variation (TTV) technique. Taking also the literature data points into account, we can explain all mid-transit times by refining the linear ephemeris by 21 ms. Thus, we can exclude TTV amplitudes of more than ∼1.5min

New transit observations for HAT-P-30 b, HAT-P-37 b, TrES-5 b, WASP-28 b, WASP-36 b, and WASP-39 b

We present new transit light curves for planets in six extrasolar planetary systems. They were acquired with 0.4-2.2 m telescopes located in west Asia, Europe, and South America. When combined with literature data, they allowed us to redetermine system parameters in a homogeneous way. Our results for individual systems are in agreement with values reported in previous studies. We refined transit ephemerides and reduced uncertainties of orbital periods by a factor between 2 and 7. No sign of any variations in transit times was detected for the planets studied.Comment: Submitted to Acta Astronomic

Electroweak Radiative Corrections To Polarized M{\o}ller Scattering Asymmetries

One loop electroweak radiative corrections to left-right parity violating M{\o}ller scattering ($e^-e^-\to e^-e^-$) asymmetries are presented. They reduce the standard model (tree level) prediction by 40$\pm 3$ \% where the main shift and uncertainty stem from hadronic vacuum polarization loops. A similar reduction also occurs for the electron-electron atomic parity violating interaction. That effect can be attributed to an increase of $\sin^2\theta_W(q^2)$ by $3\%$ in running from $q^2=m_Z^2$ to 0. The sensitivity of the asymmetry to ``new physics'' is also discussed.Comment: 14 pages, Revtex, postscript file including figures is available at ftp://ttpux2.physik.uni-karlsruhe.de/ttp95-14/ttp95-14.ps or via WWW at http://ttpux2.physik.uni-karlsruhe.de/cgi-bin/preprints/ (129.13.102.139

Transit Timing Analysis in the HAT-P-32 system

We present the results of 45 transit observations obtained for the transiting exoplanet HAT-P-32b. The transits have been observed using several telescopes mainly throughout the YETI network. In 25 cases, complete transit light curves with a timing precision better than $1.4\:$min have been obtained. These light curves have been used to refine the system properties, namely inclination $i$, planet-to-star radius ratio $R_\textrm{p}/R_\textrm{s}$, and the ratio between the semimajor axis and the stellar radius $a/R_\textrm{s}$. First analyses by Hartman et al. (2011) suggest the existence of a second planet in the system, thus we tried to find an additional body using the transit timing variation (TTV) technique. Taking also literature data points into account, we can explain all mid-transit times by refining the linear ephemeris by 21ms. Thus we can exclude TTV amplitudes of more than $\sim1.5$min.Comment: MNRAS accepted; 13 pages, 10 figure

Building Interprofessional Global Health Infrastructure at a University and Health System: Navigating Challenges and Scaling Successes

Mission: Global Jefferson will create sustainable programs of global distinction through collaboration that position Jefferson as a local and international destination and resource for education, research, and clinical activities. Global Jefferson is supported by the Associate Provost for Global Affairs, part of the Office of the Provost. Global activity at Jefferson includes: Global Health Initiatives Committee (GHIC) Service Learning Global Research & Exchange between institutions Pre-clinical, translational, clinical, and applied research Poster presented at: 8th Annual Global Health Conference of the Consortium of Universities for Global Health (CUGH)https://jdc.jefferson.edu/globalhealthposters/1000/thumbnail.jp

VW LMi: tightest quadruple system known. Light-time effect and possible secular changes of orbits

Tightest known quadruple systems VW LMi consists of contact eclipsing binary with P_12 = 0.477551 days and detached binary with P_34 = 7.93063 days revolving in rather tight, 355.0-days orbit. This paper presents new photometric and spectroscopic observations yielding 69 times of minima and 36 disentangled radial velocities for the component stars. All available radial velocities and minima times are combined to better characterize the orbits and to derive absolute parameters of components. The total mass of the quadruple system was estimated at 4.56 M_sun. The detached, non-eclipsing binary with orbital period P = 7.93 days is found to show apsidal motion with U approximately 80 years. Precession period in this binary, caused by the gravitational perturbation of the contact binary, is estimated to be about 120 years. The wide mutual orbit and orbit of the non-eclipsing pair are found to be close to coplanarity, preventing any changes of the inclination angle of the non-eclipsing orbit and excluding occurrence of the second system of eclipses in future. Possibilities of astrometric solution and direct resolving of the wide, mutual orbit are discussed. Nearby star, HD95606, was found to form loose binary with quadruple system VW LMi.Comment: 4 figures. accepted to MNRAS on July 31, 200