Local time and the pricing of time-dependent barrier options

A time-dependent double-barrier option is a derivative security that delivers the terminal value $\phi(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers b_\pm:[0,T]\to \RR_+ have been hit during the time interval $[0,T]$. Using a probabilistic approach we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a wide class of payoff functions $\phi$, barrier functions $b_\pm$ and linear diffusions $(S_t)_{t\in[0,T]}$. We show that the barrier premium can be expressed as a sum of integrals along the barriers $b_\pm$ of the option's deltas \Delta_\pm:[0,T]\to\RR at the barriers and that the pair of functions $(\Delta_+,\Delta_-)$ solves a system of Volterra integral equations of the first kind. We find a semi-analytic solution for this system in the case of constant double barriers and briefly discus a numerical algorithm for the time-dependent case.Comment: 32 pages, to appear in Finance and Stochastic

Anisotropic intrinsic lattice thermal conductivity of phosphorene from first principles

Phosphorene, the single layer counterpart of black phosphorus, is a novel two-dimensional semiconductor with high carrier mobility and a large fundamental direct band gap, which has attracted tremendous interest recently. Its potential applications in nano-electronics and thermoelectrics call for a fundamental study of the phonon transport. Here, we calculate the intrinsic lattice thermal conductivity of phosphorene by solving the phonon Boltzmann transport equation (BTE) based on first-principles calculations. The thermal conductivity of phosphorene at $300\,\mathrm{K}$ is $30.15\,\mathrm{Wm^{-1}K^{-1}}$ (zigzag) and $13.65\,\mathrm{Wm^{-1}K^{-1}}$ (armchair), showing an obvious anisotropy along different directions. The calculated thermal conductivity fits perfectly to the inverse relation with temperature when the temperature is higher than Debye temperature ($\Theta_D = 278.66\,\mathrm{K}$). In comparison to graphene, the minor contribution around $5\%$ of the ZA mode is responsible for the low thermal conductivity of phosphorene. In addition, the representative mean free path (MFP), a critical size for phonon transport, is also obtained.Comment: 5 pages and 6 figures, Supplemental Material available as http://www.rsc.org/suppdata/cp/c4/c4cp04858j/c4cp04858j1.pd

Covariant Field Equations, Gauge Fields and Conservation Laws from Yang-Mills Matrix Models

The effective geometry and the gravitational coupling of nonabelian gauge and scalar fields on generic NC branes in Yang-Mills matrix models is determined. Covariant field equations are derived from the basic matrix equations of motions, known as Yang-Mills algebra. Remarkably, the equations of motion for the Poisson structure and for the nonabelian gauge fields follow from a matrix Noether theorem, and are therefore protected from quantum corrections. This provides a transparent derivation and generalization of the effective action governing the SU(n) gauge fields obtained in [1], including the would-be topological term. In particular, the IKKT matrix model is capable of describing 4-dimensional NC space-times with a general effective metric. Metric deformations of flat Moyal-Weyl space are briefly discussed.Comment: 31 pages. V2: minor corrections, references adde

Further restrictions on the topology of stationary black holes in five dimensions

We place further restriction on the possible topology of stationary asymptotically flat vacuum black holes in 5 spacetime dimensions. We prove that the horizon manifold can be either a connected sum of Lens spaces and "handles" $S^1 \times S^2$, or the quotient of $S^3$ by certain finite groups of isometries (with no "handles"). The resulting horizon topologies include Prism manifolds and quotients of the Poincare homology sphere. We also show that the topology of the domain of outer communication is a cartesian product of the time direction with a finite connected sum of $\mathbb R^4,S^2 \times S^2$'s and $CP^2$'s, minus the black hole itself. We do not assume the existence of any Killing vector beside the asymptotically timelike one required by definition for stationarity.Comment: LaTex, 22 pages, 9 figure

Kinetics and Mechanism of Hydroxyapatite Crystal Dissolution in Weak Acid Buffers Using the Rotating Disk Method

The dissolution rates of synthetic hydroxyapatite pellets under sink conditions were measured using the rotating disk method. The experimental data were analyzed by means of a physical model that yielded an ionic activity product of KHAP = a10Ca2+ a6 PO4 3- a2OH- = 1 × 10-124.5±1.0 that was found to govern the dissolution reaction. Also, a surface resistance factor of k' equal to about 174 sec/cm was deduced from the data.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/67157/2/10.1177_00220345760550033201.pd

Airy-like patterns in heavy ion elastic scattering

A semiclassical analysis of an optical potential cross section is presented. The cross section considered is characterized by the appearance of an Airy-like pattern. This pattern is similar to that which is present in many cross sections, which fit the recent measurements of light heavy ion elastic scattering, and is considered as a manifestation of a rainbow phenomenon. The semiclassical analysis shows that, in the case considered, the oscillations arise from the interference between the contributions from two different terms of a multi-reflection expansion of the scattering function, and, therefore, cannot be associated with the rainbow phenomenon.Comment: 10 pages, 5 figure

Neutron star properties in the quark-meson coupling model

The effects of internal quark structure of baryons on the composition and structure of neutron star matter with hyperons are investigated in the quark-meson coupling (QMC) model. The QMC model is based on mean-field description of nonoverlapping spherical bags bound by self-consistent exchange of scalar and vector mesons. The predictions of this model are compared with quantum hadrodynamic (QHD) model calibrated to reproduce identical nuclear matter saturation properties. By employing a density dependent bag constant through direct coupling to the scalar field, the QMC model is found to exhibit identical properties as QHD near saturation density. Furthermore, this modified QMC model provides well-behaved and continuous solutions at high densities relevant to the core of neutron stars. Two additional strange mesons are introduced which couple only to the strange quark in the QMC model and to the hyperons in the QHD model. The constitution and structure of stars with hyperons in the QMC and QHD models reveal interesting differences. This suggests the importance of quark structure effects in the baryons at high densities.Comment: 28 pages, 10 figures, to appear in Physical Review

Stability of Black Holes and Black Branes

We establish a new criterion for the dynamical stability of black holes in $D \geq 4$ spacetime dimensions in general relativity with respect to axisymmetric perturbations: Dynamical stability is equivalent to the positivity of the canonical energy, \E, on a subspace, $\mathcal T$, of linearized solutions that have vanishing linearized ADM mass, momentum, and angular momentum at infinity and satisfy certain gauge conditions at the horizon. This is shown by proving that---apart from pure gauge perturbations and perturbations towards other stationary black holes---\E is nondegenerate on $\mathcal T$ and that, for axisymmetric perturbations, \E has positive flux properties at both infinity and the horizon. We further show that \E is related to the second order variations of mass, angular momentum, and horizon area by \E = \delta^2 M - \sum_A \Omega_A \delta^2 J_A - \frac{\kappa}{8\pi} \delta^2 A, thereby establishing a close connection between dynamical stability and thermodynamic stability. Thermodynamic instability of a family of black holes need not imply dynamical instability because the perturbations towards other members of the family will not, in general, have vanishing linearized ADM mass and/or angular momentum. However, we prove that for any black brane corresponding to a thermodynamically unstable black hole, sufficiently long wavelength perturbations can be found with \E < 0 and vanishing linearized ADM quantities. Thus, all black branes corresponding to thermodynmically unstable black holes are dynamically unstable, as conjectured by Gubser and Mitra. We also prove that positivity of \E on $\mathcal T$ is equivalent to the satisfaction of a "local Penrose inequality," thus showing that satisfaction of this local Penrose inequality is necessary and sufficient for dynamical stability.Comment: 54 pages, Latex, 2 figures, v2: Anzatz for momentum in proof of Gubser-Mitra conjecture corrected; factor of 2 in symplectic form corrected; several typos in formulas corrected; v3: revised argument concerning horizon gauge condition on p. 10; typos corrected and several minor changes; reference added; v4: formula (86) for \E corrected, footnote adde

Topological Charged Black Holes in High Dimensional Spacetimes and Their Formation from Gravitational Collapse of a Type II Fluid

Topological charged black holes coupled with a cosmological constant in $R^{2}\times X^{D-2}$ spacetimes are studied, where $X^{D-2}$ is an Einstein space of the form ${}^{(D-2)}R_{AB} = k(D-3) h_{AB}$. The global structure for the four-dimensional spacetimes with $k = 0$ is investigated systematically. The most general solutions that represent a Type $II$ fluid in such a high dimensional spacetime are found, and showed that topological charged black holes can be formed from the gravitational collapse of such a fluid. When the spacetime is (asymptotically) self-similar, the collapse always forms black holes for $k = 0, -1$, in contrast to the case $k = 1$, where it can form either balck holes or naked singularities.Comment: 14 figures, to appear in Phys. Rev.