Multidimensional Quasi-Monte Carlo Malliavin Greeks

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fourni\'e et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.Comment: 22 pages, 6 figure

The use of plasma-based deposition with ion implantation technology to produce superhard molybdenum-based coatings in a mixed (C₂H₂+N₂) atmosphere

The influence of the pressure of a mixed gaseous atmosphere (80%C₂H₂+20%N₂) and the supply of a high-voltage negative potential in a pulsed form on the elemental and phase composition, structure and physico-mechanical characteristics of the vacuum-arc molybdenum-based coating

Quantum dynamics in canonical and micro-canonical ensembles. Part I. Anderson localization of electrons

The new numerical approach for consideration of quantum dynamics and calculations of the average values of quantum operators and time correlation functions in the Wigner representation of quantum statistical mechanics has been developed. The time correlation functions have been presented in the form of the integral of the Weyl's symbol of considered operators and the Fourier transform of the product of matrix elements of the dynamic propagators. For the last function the integral Wigner- Liouville's type equation has been derived. The numerical procedure for solving this equation combining both molecular dynamics and Monte Carlo methods has been developed. For electrons in disordered systems of scatterers the numerical results have been obtained for series of the average values of the quantum operators including position and momentum dispersions, average energy, energy distribution function as well as for the frequency dependencies of tensor of electron conductivity and permittivity according to quantum Kubo formula. Zero or very small value of static conductivity have been considered as the manifestation of Anderson localization of electrons in 1D case. Independent evidence of Anderson localization comes from the behaviour of the calculated time dependence of position dispersion.Comment: 8 pages, 10 figure

Computer simulation of crystallization kinetics with non-Poisson distributed nuclei

The influence of non-uniform distribution of nuclei on crystallization kinetics of amorphous materials is investigated. This case cannot be described by the well-known Johnson-Mehl-Avrami (JMA) equation, which is only valid under the assumption of a spatially homogeneous nucleation probability. The results of computer simulations of crystallization kinetics with nuclei distributed according to a cluster and a hardcore distribution are compared with JMA kinetics. The effects of the different distributions on the so-called Avrami exponent $n$ are shown. Furthermore, we calculate the small-angle scattering curves of the simulated structures which can be used to distinguish experimentally between the three nucleation models under consideration.Comment: 14 pages including 7 postscript figures, uses epsf.sty and ioplppt.st

Study of the ηπo\eta\pi^o system in the mass range up to 1200 MeV

The reaction $\pi^-p \to \eta\pi^o n$ has been studied with GAMS-2000 spectrometer in the secondary 38 GeV/c $\pi^-$-beam of the IHEP U-70 accelerator. Partial wave analysis of the reaction has been performed in the $\eta\pi^o$ mass range up to 1200 MeV. The $a_0(980)$-meson is seen as a sharp peak in S-wave. The $t$-dependence of $a_0(980)$ production cross section has been studied. Dominant production of the $a_0(980)$ at a small transfer momentum $t$ confirms the hypothesis of Achasov and Shestakov about significant contribution of the $\rho_2$ exchange ($I^GJ^{PC}=1^+2^{--}$) in the mechanism of $a_0(980)$ meson production in $t$-channel of the reaction.Comment: 4 pages, 3 figures, talk given at HADRON'9

Importance Sampling and Stratification for Copula Models

An importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at least one of its components is large. Such problems often arise from dependence models in finance and insurance. The importance sampling framework we propose is particularly easy to implement for Archimedean copulas. We also show how the proposal distribution of our algorithm can be optimized by making a connection with stratified sampling. In a case study inspired by a typical insurance application, we obtain variance reduction factors sometimes larger than 1000 in comparison to standard Monte Carlo estimators when both importance sampling and quasi-Monte Carlo methods are used.NSERC, Grant 238959 NSERC, Grant 501

Investigation of nanoscale TiN/MoN multilayered systems, fabricated using Arc evaporation

Using the vacuum-arc evaporation method we fabricated periodic multilayered TiN/MoN structures with different bilayer periods λ ranging from 8 to 100 nm. We found that molybdenum nitride and titanium nitride layers grown on steel show local partial epitaxy and columnar growth across interfaces. A molybdenum-titanium carbide interlayer was evidenced between the substrate and the multilayer. Molybdenum nitride and titanium nitride layers contain small (5÷30 nm) grains and are well crystallized with (100) preferred orientation. They were identified as stoichiometric fcc TiN and cubic γ-M2N. Non-cubic molybdenum nitride phases were also detected. The hardness of the obtained structures achieved great values and maximal hardness was 31÷41.8 GPa for the multilayered structure with a 8 nm period. Hardness of the obtained coatings is 25÷45% higher in comparison with the initial single-layer nitride coatings, plasticity index of multilayered structure is 0.075

A bounded confidence approach to understanding user participation in peer production systems

Commons-based peer production does seem to rest upon a paradox. Although users produce all contents, at the same time participation is commonly on a voluntary basis, and largely incentivized by achievement of project's goals. This means that users have to coordinate their actions and goals, in order to keep themselves from leaving. While this situation is easily explainable for small groups of highly committed, like-minded individuals, little is known about large-scale, heterogeneous projects, such as Wikipedia. In this contribution we present a model of peer production in a large online community. The model features a dynamic population of bounded confidence users, and an endogenous process of user departure. Using global sensitivity analysis, we identify the most important parameters affecting the lifespan of user participation. We find that the model presents two distinct regimes, and that the shift between them is governed by the bounded confidence parameter. For low values of this parameter, users depart almost immediately. For high values, however, the model produces a bimodal distribution of user lifespan. These results suggest that user participation to online communities could be explained in terms of group consensus, and provide a novel connection between models of opinion dynamics and commons-based peer production.Comment: 17 pages, 5 figures, accepted to SocInfo201

Parental bonding and identity style as correlates of self-esteem among adult adoptees and nonadoptees

Adult adoptees (n equals 100) and non-adoptees (n equals 100) were compared with regard to selfesteem, identity processing style, and parental bonding. While some differences were found with regard to self-esteem, maternal care, and maternal overprotection, these differences were qualified by reunion status such that only reunited adoptees differed significantly from nonadoptees. Moreover, hierarchical regression analyses indicated that parental bonding and identity processing style were more important than adoptive status per se in predicting self esteem. Implications for practitioners who work with adoptees are discussed

X-ray line formation in the spectrum of SS 433

The mechanisms for the formation of X-ray lines in the spectrum of SS 433 are investigated by taking into account the radiative transfer inside the jets. The results of Monte Carlo numerical simulations are presented. The effect of a decrease in line intensity due to scattering inside the jet turns out to be pronounced, but it does not exceed 60% in magnitude on the entire grid of parameters. The line broadening due to scattering, nutational motion, and the contribution of satellites can lead to overestimates of the jet opening angle $\Theta$ from the line widths in Chandra X-ray observations. The fine structure of the lines turns out to be very sensitive to the scattering effects. This makes its investigation by planned X-ray observatories equipped with high-resolution spectrometers (primarily Astro-H) a powerful tool for diagnosing the parameters of the jets in SS 433.Comment: 23 pages, 14 figures, to be published in Astronomy Letters, v. 38, n. 7, p. 443 (2012