Robust option replication for a Black-Scholes model extended with nondeterministic trends

Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model. This memory or nondeterministic trend behavior is often seen as a reflection of market sentiments and causes that the historical volatility estimator becomes unreliable in practice. We propose an extension of the Black and Scholes model by adding a term to the original Wiener term involving a smoother process which accounts for these effects. The problem of arbitrage will be discussed. Using a generalized stochastic integration theory [8], we show that it is possible to construct a self financing replicating portfolio for a European option without any further knowledge of the extension and that, as a consequence, the classical concept of volatility needs to be re-interpreted. AMS subject classifications: 60H05, 60H10, 90A09

Self-Consistent Response of a Galactic Disk to an Elliptical Perturbation Halo Potential

We calculate the self-consistent response of an axisymmetric galactic disk perturbed by an elliptical halo potential of harmonic number m = 2, and obtain the net disk ellipticity. Such a potential is commonly expected to arise due to a galactic tidal encounter and also during the galaxy formation process. The self-gravitational potential corresponding to the self-consistent, non-axisymmetric density response of the disk is obtained by inversion of Poisson equation for a thin disk. This response potential is shown to oppose the perturbation potential, because physically the disk self-gravity resists the imposed potential. This results in a reduction in the net ellipticity of the perturbation halo potential in the disk plane. The reduction factor denoting this decrease is independent of the strength of the perturbation potential, and has a typical minimum value of 0.75 - 0.9 for a wide range of galaxy parameters. The reduction is negligible at all radii for higher harmonics (m > or = 3) of the halo potential. (abridged).Comment: 26 pages (LaTex- aastex style), 3 .eps figures. To appear in the Astrophysical Journal, Vol. 542, Oct. 20, 200

Molecular spectrum of TSHβ subunit gene defects in central hypothyroidism in the UK and Ireland.

OBJECTIVE: Homozygous mutations in the TSH beta subunit gene (TSHB) result in severe, isolated, central congenital hypothyroidism (CCH). This entity evades diagnosis in TSH-based congenital hypothyroidism (CH) screening programmes in the UK and Ireland. Accordingly, genetic diagnosis, enabling ascertainment of affected relatives in families, is critical for prompt diagnosis and treatment of the disorder. DESIGN, PATIENTS AND MEASUREMENTS: Four cases of isolated TSH deficiency from three unrelated families in the UK and Ireland were investigated for mutations or deletions in TSHB. Haplotype analysis, to investigate a founder effect, was undertaken in cases with identical mutations (c.373delT). RESULTS: Two siblings in kindred 1 were homozygous for a previously described TSHB mutation (c.373delT). In kindreds 2 and 3, the affected individuals were compound heterozygous for TSHB c.373delT and either a 5·4-kB TSHB deletion (kindred 2, c.1-4389_417*195delinsCTCA) or a novel TSHB missense mutation (kindred 3, c.2T>C, p.Met1?). Neurodevelopmental retardation, following delayed diagnosis and treatment, was present in 3 cases. In contrast, the younger sibling in kindred 1 developed normally following genetic diagnosis and treatment from birth. CONCLUSIONS: This study, including the identification of a second, novel, TSHB deletion, expands the molecular spectrum of TSHB defects and suggests that allele loss may be a commoner basis for TSH deficiency than previously suspected. Delayed diagnosis and treatment of profound central hypothyroidism in such cases result in neurodevelopmental retardation. Inclusion of thyroxine (T4) plus thyroxine-binding globulin (TBG), or free thyroxine (FT4) in CH screening, together with genetic case ascertainment enabling earlier therapeutic intervention, could prevent such adverse sequelae.Wellcome Trust (Grant IDs: 100585/Z/12/Z, 095564/Z/11/Z), National Institute for Health Research Biomedical Research Centre CambridgeThis is the final version of the article. It first appeared from Wiley via http://dx.doi.org/10.1111/cen.1314

Self-consistent massive disks in triaxial dark matter halos

Galactic disks in triaxial dark matter halos become deformed by the elliptical potential in the plane of the disk in such a way as to counteract the halo ellipticity. We develop a technique to calculate the equilibrium configuration of such a disk in the combined disk-halo potential, which is based on the method of Jog (2000) but accounts for the radial variation in both the halo potential and the disk ellipticity. This crucial ingredient results in qualitatively different behavior of the disk: the disk circularizes the potential at small radii, even for a reasonably low disk mass. This effect has important implications for proposals to reconcile cuspy halo density profiles with low surface brightness galaxy rotation curves using halo triaxiality. The disk ellipticities in our models are consistent with observational estimates based on two-dimensional velocity fields and isophotal axis ratios.Comment: ApJ, in pres

A Complete Sample of Megaparsec Size Double Radio Sources from SUMSS

We present a complete sample of megaparsec-size double radio sources compiled from the Sydney University Molonglo Sky Survey (SUMSS). Almost complete redshift information has been obtained for the sample. The sample has the following defining criteria: Galactic latitude |b| > 12.5 deg, declination < -50 deg and angular size > 5 arcmin. All the sources have projected linear size larger than 0.7 Mpc (assuming H_o = 71 km/s/Mpc). The sample is chosen from a region of the sky covering 2100 square degrees. In this paper, we present 843-MHz radio images of the extended radio morphologies made using the Molonglo Observatory Synthesis Telescope (MOST), higher resolution radio observations of any compact radio structures using the Australia Telescope Compact Array (ATCA), and low resolution optical spectra of the host galaxies from the 2.3-m Australian National University (ANU) telescope at Siding Spring Observatory. The sample presented here is the first in the southern hemisphere and significantly enhances the database of known giant radio sources. The giant radio sources with linear size exceeding 0.7 Mpc have an abundance of (215 Mpc)^(-3) at the sensitivity of the survey. In the low redshift universe, the survey may be suggesting the possibility that giant radio sources with relict lobes are more numerous than giant sources in which beams from the centre currently energize the lobes.Comment: 67 pages, 29 figures, for full resolution figures see http://www.astrop.physics.usyd.edu.au/SUMSS/PAPERS/Submit-May11-ms.pd

Comprehensive two-dimensional gas chromatography:A discussion on recent innovations

Although comprehensive 2-D GC is an established and often applied analytical method, the field is still highly dynamic thanks to a remarkable number of innovations. In this review, we discuss a number of recent developments in comprehensive 2-D GC technology. A variety of modulation methods are still being actively investigated and many exciting improvements are discussed in this review. We also review interesting developments in detection methods, retention modeling, and data analysis.</p

A Photometric Method for Quantifying Asymmetries in Disk Galaxies

A photometric method for quantifying deviations from axisymmetry in optical images of disk galaxies is applied to a sample of 32 face-on and nearly face-on spirals. The method involves comparing the relative fluxes contained within trapezoidal sectors arranged symmetrically about the galaxy center of light, excluding the bulge and/or barred regions. Such a method has several advantages over others, especially when quantifying asymmetry in flocculent galaxies. Specifically, the averaging of large regions improves the signal-to-noise in the measurements; the method is not strongly affected by the presence of spiral arms; and it identifies the kinds of asymmetry that are likely to be dynamically important. Application of this "method of sectors" to R-band images of 32 disk galaxies indicates that about 30% of spirals show deviations from axisymmetry at the 5-sigma level.Comment: 17 pages, 2 tables and 6 figures, uses psfig and AAS LaTex; to appear in A

A Search for Kinematic Evidence of Radial Gas Flows in Spiral Galaxies

CO and HI velocity fields of seven nearby spiral galaxies, derived from radio-interferometric observations, are decomposed into Fourier components whose radial variation is used to search for evidence of radial gas flows. Additional information provided by optical or near-infrared isophotes is also considered, including the relationship between the morphological and kinematic position angles. To assist in interpreting the data, we present detailed modeling that demonstrates the effects of bar streaming, inflow, and a warp on the observed Fourier components. We find in all of the galaxies evidence for either elliptical streaming or a warped disk over some range in radius, with deviations from pure circular rotation at the level of ~20-60 km/s. Evidence for kinematic warps is observed in several cases well inside R_{25}. No unambiguous evidence for radial inflows is seen in any of the seven galaxies, and we are able to place an upper limit of ~5-10 km/s (3-5% of the circular speed) on the magnitude of any radial inflow in the inner regions of NGC 4414, 5033 and 5055. We conclude that the inherent non-axisymmetry of spiral galaxies is the greatest limitation to the direct detection of radial inflows.Comment: 22 emulateapj pages with bitmapped colour figures, to appear in ApJ (April 2004). For full resolution figures go to http://www.atnf.csiro.au/people/twong/preprints

Perfect-information games with lower-semicontinuous payoffs

We prove that every multiplayer perfect-information game with bounded and lower-semicontinuous payoffs admits a subgame-perfect epsilon-equilibrium in pure strategies. This result complements Example 3 in Solan and Vieille [Solan, E., N. Vieille. 2003. Deterministic multi-player Dynkin games. J. Math. Econom. 39 911-929], which shows that a subgame-perfect epsilon-equilibrium in pure strategies need not exist when the payoffs are not lower-semicontinuous. In addition, if the range of payoffs is finite, we characterize in the form of a Folk Theorem the set of all plays and payoffs that are induced by subgame-perfect 0-equilibria in pure strategies

The physiological and perceptual demands of running on a curved non-motorised treadmill: Implications for self-paced training

Objectives To compare physiological and perceptual response of running on a curved non-motorized treadmill (cNMT) with running on a motorized treadmill (MT), and to determine the running velocity at which a physiological response ≥ 90% Math EqO2max was elicited. Design & methods 13 trained male runners (mean ± SD; 36 ± 11 years, 1.80 ± 0.06 m, 70 ± 4 kg, Math EqO2max: 57.3 ± 3.5 mL kg−1 min−1) performed an incremental running test on a MT to determine Math EqO2max and the accompanying maximum velocity (Vmax). Participants first completed a familiarization session on the cNMT. Next, participants ran for 4 min at five/six progressively higher velocities (40–90% Vmax). These runs were completed on the cNMT and MT in two separate visits in a randomized and counterbalanced order. Results No participant was able to complete the 4 min run at 80% Vmax on the cNMT. Running on the cNMT elicit a higher relative oxygen uptake (%Math EqO2max) across all velocities compared to the MT (32.5 ± 5%, p < 0.001, ES 3.3 ± 0.9), and was accompanied by significantly higher heart rates (16.8 ± 3%, p < 0.001, ES 3.4 ± 1.5), an altered cadence (2.6 ± 0.7%, p < 0.001, ES 0.8 ± 0.3) and ratings of perceived exertion (27.2 ± 5%, p < 0.001, ES 2.3 ± 0.6). A less efficient running economy was evident when running on the cNMT (+38.4 ± 16%, p < 0.001, ES 2.73). Individual (n = 9) linear interpolation predicted an exercise intensity of 90% Math EqO2max was achieved in the non-motorized condition when running at 62.1 ± 3.5% Vmax (R2 = 0.986 ± 0.01), which was lower than MT run in which 90% Math EqO2max was achieved at 81.4 ± 5.6% Vmax (R2 = 0.985 ± 0.02; 29.8 ± 8%, p < 0.001, ES 3.87). Conclusions Running on the cNMT has higher physiological and perceptual demands and increases cadence