Analysis of Fourier transform valuation formulas and applications

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff function and the process arises naturally. We also extend these results to the multi-dimensional case, and discuss the calculation of Greeks by Fourier transform methods. As an application, we price options on the minimum of two assets in L\'evy and stochastic volatility models.Comment: 26 pages, 3 figures, to appear in Appl. Math. Financ

Combining requirements engineering techniques - theory and case study

© Copyright 2005 IEEEThe selection of requirements engineering (RE) techniques during software project development is a challenge for most developers. One of the reasons is that there is a great lack of requirements engineering education in most academic programs, so software developers have to learn requirements engineering practices on the job. This can easily result in the selection of techniques that are ill-suited for a particular project, as the selection is based on personal preference rather than on the characteristics of the project. Very little research has been done in the area of technique selection based on project attributes. This paper describes research into the selection and combination of RE techniques as well as a case study that applied the selection process to an industrial software project.Li Jiang, Armin Eberlein, Behrouz H. Fa

Vortex in a trapped Bose-Einstein condensate with dipole-dipole interactions

We calculate the critical rotation frequency at which a vortex state becomes energetically favorable over the vortex-free ground state in a harmonically trapped Bose-Einstein condensate whose atoms have dipole-dipole interactions as well as the usual s-wave contact interactions. In the Thomas-Fermi (hydrodynamic) regime, dipolar condensates in oblate cylindrical traps (with the dipoles aligned along the axis of symmetry of the trap) tend to have lower critical rotation frequencies than their purely s-wave contact interaction counterparts. The converse is true for dipolar condensates in prolate traps. Quadrupole excitations and centre of mass motion are also briefly discussed as possible competing mechanisms to a vortex as means by which superfluids with partially attractive interactions might carry angular momentumComment: 12 pages, 12 figure

Entropy of semiclassical measures for nonpositively curved surfaces

We study the asymptotic properties of eigenfunctions of the Laplacian in the case of a compact Riemannian surface of nonpositive sectional curvature. We show that the Kolmogorov-Sinai entropy of a semiclassical measure for the geodesic flow is bounded from below by half of the Ruelle upper bound. We follow the same main strategy as in the Anosov case (arXiv:0809.0230). We focus on the main differences and refer the reader to (arXiv:0809.0230) for the details of analogous lemmas.Comment: 20 pages. This note provides a detailed proof of a result announced in appendix A of a previous work (arXiv:0809.0230, version 2

Stress Tensor Correlators in the Schwinger-Keldysh Formalism

We express stress tensor correlators using the Schwinger-Keldysh formalism. The absence of off-diagonal counterterms in this formalism ensures that the +- and -+ correlators are free of primitive divergences. We use dimensional regularization in position space to explicitly check this at one loop order for a massless scalar on a flat space background. We use the same procedure to show that the ++ correlator contains the divergences first computed by `t Hooft and Veltman for the scalar contribution to the graviton self-energy.Comment: 14 pages, LaTeX 2epsilon, no figures, revised for publicatio

Quantum Electrodynamics near a Huttner-Barnett dielectric

We build up a consistent theory of quantum electrodynamics in the presence of macroscopic polarizable media. We use the Huttner-Barnett model of a dispersive and absorbing dielectric medium and formulate the theory in terms of interacting quantum fields. We integrate out the damped polaritons by using diagrammatic techniques and find an exact expression for the displacement field (photon) propagator in the presence of a dispersive and absorbing dielectric half-space. This opens a new route to traceable perturbative calculations of the same kind as in free-space quantum electrodynamics. As a worked-through example we consider the interaction of a neutral atom with a dispersive and absorbing dielectric half-space. For that we use the multipolar coupling $\boldsymbol{\mu}\cdot\mathbf{D}$ of the atomic dipole moment to the electromagnetic displacement field. We apply the newly developed formalism to calculate the one-loop correction to the atomic electron propagator and find the energy-level shift and changes in the spontaneous decay rates for a neutral atom close to an absorptive dielectric mirror.Comment: 25 pages, 4 figure

Completeness of evanescent modes in layered dielectrics

In the presence of a dielectric slab, the modes of the free electromagnetic field comprise traveling modes, consisting of incoming, reflected, and transmitted parts, as well as trapped modes that are subject to repeated total internal reflection and emerge as evanescent field outside the slab. Traveling modes have a continuous range of frequencies, but trapped modes occur only at certain discrete frequencies. We solve the problem of which relative weight to use when summing over all modes, as commonly required in perturbative calculations. We demonstrate the correctness of our method by showing the completeness of electromagnetic field modes in the presence of a dielectric slab. We derive a convenient method of summing over all modes by means of a single contour integral, which is very useful in standard quantum electrodynamic calculations

Quantum electrodynamics near anisotropic polarizable materials: Casimir-Polder shifts near multilayers of graphene

In a recent paper, we formulated a theory of nonrelativistic quantum electrodynamics in the presence of an inhomogeneous Huttner-Barnett dielectric. Here we generalize the formalism to anisotropic materials and show how it may be modified to include conducting surfaces. We start with the derivation of the photon propagator for a slab of material and use it to work out the energy-level shift near a medium whose conductivity in the direction parallel to the surface far exceeds that in the direction perpendicular to the surface. We investigate the influence of the anisotropy of the material's electromagnetic response on the Casimir-Polder shifts, both analytically and numerically, and show that it may have a significant impact on the atom-surface interaction, especially in the nonretarded regime, i.e., for small atom-surface separations. Our results for the energy shift may be used to estimate the Casimir-Polder force acting on quantum objects close to multilayers of graphene or graphite. They are particularly important for the case of trapped cold molecules whose dispersive interactions with surfaces often fall within the nonretarded regime where the anisotropy of the material strongly influences the Casimir-Polder force. We also give a formula for the change in the spontaneous decay rate of an excited atom or molecule near an anisotropically conducting surface

The Lake Country Silo

This publication provides detailed instructions to build a Lake County, South Dakota panel silo. The estimated cost of the construction and a list of necessary materials is also provided

Stochastic Spacetime and Brownian Motion of Test Particles

The operational meaning of spacetime fluctuations is discussed. Classical spacetime geometry can be viewed as encoding the relations between the motions of test particles in the geometry. By analogy, quantum fluctuations of spacetime geometry can be interpreted in terms of the fluctuations of these motions. Thus one can give meaning to spacetime fluctuations in terms of observables which describe the Brownian motion of test particles. We will first discuss some electromagnetic analogies, where quantum fluctuations of the electromagnetic field induce Brownian motion of test particles. We next discuss several explicit examples of Brownian motion caused by a fluctuating gravitational field. These examples include lightcone fluctuations, variations in the flight times of photons through the fluctuating geometry, and fluctuations in the expansion parameter given by a Langevin version of the Raychaudhuri equation. The fluctuations in this parameter lead to variations in the luminosity of sources. Other phenomena which can be linked to spacetime fluctuations are spectral line broadening and angular blurring of distant sources.Comment: 15 pages, 3 figures. Talk given at the 9th Peyresq workshop, June 200