Delta hedging in discrete time under stochastic interest rate

We propose a methodology based on the Laplace transform to compute the variance of the hedging error due to time discretization for financial derivatives when the interest rate is stochastic. Our approach can be applied to any affine model for asset prices and to a very general class of hedging strategies, including Delta hedging. We apply it in a two-dimensional market model, obtained by combining the models of Black-Scholes and Vasicek, where we compare a strategy that correctly takes into account the variability of interest rates to one that erroneously assumes that they are deterministic. We show that the differences between the two strategies can be very significant. The factors with stronger influence are the ratio between the standard deviations of the equity and that of the interest rate, and their correlation. The methodology is also applied to study the Delta hedging strategy for an interest rate option in the Cox-Ingersoll and Ross model, measuring the variance of the hedging error as a function of the frequency of the rebalancing dates. We compare the results obtained to those coming from a classical Monte Carlo simulation

An X-Band low-power and low-phase-noise VCO using bondwire inductor

In this paper a low-power low-phase-noise voltage-controlled-oscillator (VCO) has been designed and, fabricated in 0.25 μm SiGe BiCMOS process. The resonator of the VCO is implemented with on-chip MIM capacitors and a single aluminum bondwire. A tail current filter is realized to suppress flicker noise up-conversion. The measured phase noise is −126.6 dBc/Hz at 1 MHz offset from a 7.8 GHz carrier. The figure of merit (FOM) of the VCO is −192.5 dBc/Hz and the VCO core consumes 4 mA from a 3.3 V power supply. To the best of our knowledge, this is the best FOM and the lowest phase noise for bondwire VCOs in the X-band. This VCO will be used for satellite communications

Spreading and shortest paths in systems with sparse long-range connections

Spreading according to simple rules (e.g. of fire or diseases), and shortest-path distances are studied on d-dimensional systems with a small density p per site of long-range connections (``Small-World'' lattices). The volume V(t) covered by the spreading quantity on an infinite system is exactly calculated in all dimensions. We find that V(t) grows initially as t^d/d for t>t^*$, generalizing a previous result in one dimension. Using the properties of V(t), the average shortest-path distance \ell(r) can be calculated as a function of Euclidean distance r. It is found that \ell(r) = r for r<r_c=(2p \Gamma_d (d-1)!)^{-1/d} log(2p \Gamma_d L^d), and \ell(r) = r_c for r>r_c. The characteristic length r_c, which governs the behavior of shortest-path lengths, diverges with system size for all p>0. Therefore the mean separation s \sim p^{-1/d} between shortcut-ends is not a relevant internal length-scale for shortest-path lengths. We notice however that the globally averaged shortest-path length, divided by L, is a function of L/s only.Comment: 4 pages, 1 eps fig. Uses psfi

Phase noise and jitter modeling for fractional-N PLLs

We present an analytical phase noise model for fractional-N phase-locked loops (PLL) with emphasis on integrated RF synthesizers in the GHz range. The noise of the crystal reference, the voltage-controlled oscillator (VCO), the loop filter, the charge pump, and the sigma-delta modulator (SDM) is filtered by the PLL operation. We express the rms phase error (jitter) in terms of phase noise of the reference, the VCO phase noise and the third-order loop filter parameters. In addition, we consider OFDM systems, where the PLL phase noise is reduced by digital signal processing after down-conversion of the RF signal to baseband. The rms phase error is discussed as a function of the loop parameters. Our model drastically simplifies the noise optimization of the PLL loop dynamics

Implicit incentives for fund managers with partial information

We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy

Self-calibrating highly sensitive dynamic capacitance sensor: Towards rapid sensing and counting of particles in laminar flow systems

In this report we propose a sensor architecture and a corresponding read-out technique on silicon for the detection of dynamic capacitance change. This approach can be applied to rapid particle counting and single particle sensing in a fluidic system. The sensing principle is based on capacitance variation of an interdigitated electrode (IDE) structure embedded in an oscillator circuit. The capacitance scaling of the IDE results in frequency modulation of the oscillator. A demodulator architecture is employed to provide a read-out of the frequency modulation caused by the capacitance change. A self-calibrating technique is employed at the read-out amplifier stage. The capacitance variation of the IDE due to particle flow causing frequency modulation and the corresponding demodulator read-out has been analytically modelled. Experimental verification of the established model and the functionality of the sensor chip were shown using a modulating capacitor independent of fluidic integration. The initial results show that the sensor is capable of detecting frequency changes of the order of 100 parts per million (PPM), which translates to a shift of 1.43 MHz at 14.3 GHz operating frequency. It is also shown that a capacitance change every 3 μs can be accurately detected

On the relationship between directed percolation and the synchronization transition in spatially extended systems

We study the nature of the synchronization transition in spatially extended systems by discussing a simple stochastic model. An analytic argument is put forward showing that, in the limit of discontinuous processes, the transition belongs to the directed percolation (DP) universality class. The analysis is complemented by a detailed investigation of the dependence of the first passage time for the amplitude of the difference field on the adopted threshold. We find the existence of a critical threshold separating the regime controlled by linear mechanisms from that controlled by collective phenomena. As a result of this analysis we conclude that the synchronization transition belongs to the DP class also in continuous models. The conclusions are supported by numerical checks on coupled map lattices too

Systems biologists seek fuller integration of systems biology approaches in new cancer research programs

Systems biology takes an interdisciplinary approach to the systematic study of complex interactions in biological systems. This approach seeks to decipher the emergent behaviors of complex systems rather than focusing only on their constituent properties. As an increasing number of examples illustrate the value of systems biology approaches to understand the initiation, progression, and treatment of cancer, systems biologists from across Europe and the United States hope for changes in the way their field is currently perceived among cancer researchers. In a recent EU-US workshop, supported by the European Commission, the German Federal Ministry for Education and Research, and the National Cancer Institute of the NIH, the participants discussed the strengths, weaknesses, hurdles, and opportunities in cancer systems biology

Transition to Stochastic Synchronization in Spatially Extended Systems

Spatially extended dynamical systems, namely coupled map lattices, driven by additive spatio-temporal noise are shown to exhibit stochastic synchronization. In analogy with low-dymensional systems, synchronization can be achieved only if the maximum Lyapunov exponent becomes negative for sufficiently large noise amplitude. Moreover, noise can suppress also the non-linear mechanism of information propagation, that may be present in the spatially extended system. A first example of phase transition is observed when both the linear and the non-linear mechanisms of information production disappear at the same critical value of the noise amplitude. The corresponding critical properties can be hardly identified numerically, but some general argument suggests that they could be ascribed to the Kardar-Parisi-Zhang universality class. Conversely, when the non-linear mechanism prevails on the linear one, another type of phase transition to stochastic synchronization occurs. This one is shown to belong to the universality class of directed percolation.Comment: 21 pages, Latex - 14 EPS Figs - To appear on Physical Review

Correlation property of length sequences based on global structure of complete genome

This paper considers three kinds of length sequences of the complete genome. Detrended fluctuation analysis, spectral analysis, and the mean distance spanned within time $L$ are used to discuss the correlation property of these sequences. The values of the exponents from these methods of these three kinds of length sequences of bacteria indicate that the long-range correlations exist in most of these sequences. The correlation have a rich variety of behaviours including the presence of anti-correlations. Further more, using the exponent $\gamma$, it is found that these correlations are all linear ($\gamma=1.0\pm 0.03$). It is also found that these sequences exhibit $1/f$ noise in some interval of frequency ($f>1$). The length of this interval of frequency depends on the length of the sequence. The shape of the periodogram in $f>1$ exhibits some periodicity. The period seems to depend on the length and the complexity of the length sequence.Comment: RevTex, 9 pages with 5 figures and 3 tables. Phys. Rev. E Jan. 1,2001 (to appear