Shapes of implied volatility with positive mass at zero

We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and the overall level of the smile. We further show that the behaviour at small strikes is uniquely determined by the mass of the atom up to high asymptotic order, under mild assumptions on the remaining distribution on the positive real line. We investigate the structural di erence with the no-mass-at-zero case, showing how one can{ theoretically{distinguish between mass at the origin and a heavy-left-tailed distribution. We numerically test our model-free results in stochastic models with absorption at the boundary, such as the CEV process, and in jump-to-default models. Note that while Lee's moment formula [ 25 ] tells that implied variance is at most asymptotically linear in log-strike, other celebrated results for exact smile asymptotics such as [ 3 , 17 ] do not apply in this setting{essentially due to the breakdown of Put-Call duality

Existence of global strong solutions to a beam-fluid interaction system

We study an unsteady non linear fluid-structure interaction problem which is a simplified model to describe blood flow through viscoleastic arteries. We consider a Newtonian incompressible two-dimensional flow described by the Navier-Stokes equations set in an unknown domain depending on the displacement of a structure, which itself satisfies a linear viscoelastic beam equation. The fluid and the structure are fully coupled via interface conditions prescribing the continuity of the velocities at the fluid-structure interface and the action-reaction principle. We prove that strong solutions to this problem are global-in-time. We obtain in particular that contact between the viscoleastic wall and the bottom of the fluid cavity does not occur in finite time. To our knowledge, this is the first occurrence of a no-contact result, but also of existence of strong solutions globally in time, in the frame of interactions between a viscous fluid and a deformable structure

On discretization in time in simulations of particulate flows

We propose a time discretization scheme for a class of ordinary differential equations arising in simulations of fluid/particle flows. The scheme is intended to work robustly in the lubrication regime when the distance between two particles immersed in the fluid or between a particle and the wall tends to zero. The idea consists in introducing a small threshold for the particle-wall distance below which the real trajectory of the particle is replaced by an approximated one where the distance is kept equal to the threshold value. The error of this approximation is estimated both theoretically and by numerical experiments. Our time marching scheme can be easily incorporated into a full simulation method where the velocity of the fluid is obtained by a numerical solution to Stokes or Navier-Stokes equations. We also provide a derivation of the asymptotic expansion for the lubrication force (used in our numerical experiments) acting on a disk immersed in a Newtonian fluid and approaching the wall. The method of this derivation is new and can be easily adapted to other cases

Probabilistic analysis of the upwind scheme for transport

We provide a probabilistic analysis of the upwind scheme for multi-dimensional transport equations. We associate a Markov chain with the numerical scheme and then obtain a backward representation formula of Kolmogorov type for the numerical solution. We then understand that the error induced by the scheme is governed by the fluctuations of the Markov chain around the characteristics of the flow. We show, in various situations, that the fluctuations are of diffusive type. As a by-product, we prove that the scheme is of order 1/2 for an initial datum in BV and of order 1/2-a, for all a>0, for a Lipschitz continuous initial datum. Our analysis provides a new interpretation of the numerical diffusion phenomenon

A search for two body muon decay signals

Lepton family number violation is tested by searching for $\mu^+\to e^+X^0$ decays among the 5.8$\times 10^8$ positive muon decay events analyzed by the TWIST collaboration. Limits are set on the production of both massless and massive $X^0$ bosons. The large angular acceptance of this experiment allows limits to be placed on anisotropic $\mu^+\to e^+X^0$ decays, which can arise from interactions violating both lepton flavor and parity conservation. Branching ratio limits of order $10^{-5}$ are obtained for bosons with masses of 13 - 80 MeV/c$^2$ and with different decay asymmetries. For bosons with masses less than 13 MeV/c$^{2}$ the asymmetry dependence is much stronger and the 90% limit on the branching ratio varies up to $5.8 \times 10^{-5}$. This is the first study that explicitly evaluates the limits for anisotropic two body muon decays.Comment: 7 pages, 5 figures, 2 tables, accepted by PR

TOPLHA: an accurate and efficient numerical tool for analysis and design of LH antennas

This paper presents a self-consistent, integral-equation approach for the analysis of plasma-facing lower hybrid (LH) launchers; the geometry of the waveguide grill structure can be completely arbitrary, including the non-planar mouth of the grill. This work is based on the theoretical approach and code implementation of the TOPICA code, of which it shares the modular structure and constitutes the extension into the LH range. Code results are validated against the literature results and simulations from similar code