Holomorphic transforms with application to affine processes

In a rather general setting of It\^o-L\'evy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such transforms are related to a system of analytic vectors for the generator of the process, and we state conditions which allow for holomorphic extension of these transforms into a strip which contains the positive real axis. Based on these extensions we develop a functional series expansion of these transforms in terms of the constituents of the generator. As application, we show that for multidimensional affine It\^o-L\'evy processes with state dependent jump part the Fourier transform is holomorphic in a time strip under some stationarity conditions, and give log-affine series representations for the transform.Comment: 30 page

Evidence of reduced surface electron-phonon scattering in the conduction band of Bi_{2}Se_{3} by non-equilibrium ARPES

The nature of the Dirac quasiparticles in topological insulators calls for a direct investigation of the electron-phonon scattering at the \emph{surface}. By comparing time-resolved ARPES measurements of the TI Bi_{2}Se_{3} with different probing depths we show that the relaxation dynamics of the electronic temperature of the conduction band is much slower at the surface than in the bulk. This observation suggests that surface phonons are less effective in cooling the electron gas in the conduction band.Comment: 5 pages, 3 figure

Surface diffusion of Au on Si(111): A microscopic study

The direct evolution of submonolayer two-dimensional Au phases on the Si(111)-(7x7) surface was studied in real time using the spectroscopic photoemission and low energy electron microscope located at the synchrotron radiation source ELETTRA. A finite area covered by 1 monolayer (ML) of gold with a steplike transition zone was prepared by evaporation in situ. Subsequent annealing resulted in the spread of the Au layer and the formation of laterally extended Si(111)-(5x1)-Au and Si(111)-(√3x √3)R30°-Au surface reconstructions. At a temperature around 970 K, the boundary of the gold-covered region propagates on the clean Si(111)-(7x7) and exhibits a nonlinear dependence on time. The ordered Si(111)-(5x1)-Au plateau develops a separated front moving with constant velocity. Two values of the Au diffusion coefficients were estimated at a temperature of about 985 K: (1) D7x7=5,2x10-8 cm2 s-1 as the average diffusion coefficient for Au on a clean Si(111)-(7x7) surface in the concentration range from 0.4 ML up to 0.66 ML and (2) D5x1=1.2x10-7 cm2 s-1 as the lower limit for the diffusion of single Au atoms on the Si(111)-(5x1)-Au ordered phase

Nuclear spin structure in dark matter search: The finite momentum transfer limit

Spin-dependent elastic scattering of weakly interacting massive dark matter particles (WIMP) off nuclei is reviewed. All available, within different nuclear models, structure functions S(q) for finite momentum transfer (q>0) are presented. These functions describe the recoil energy dependence of the differential event rate due to the spin-dependent WIMP-nucleon interactions. This paper, together with the previous paper ``Nuclear spin structure in dark matter search: The zero momentum transfer limit'', completes our review of the nuclear spin structure calculations involved in the problem of direct dark matter search.Comment: 39 pages, 12 figures, a review in revtex

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

Evidence of vectorial photoelectric effect on Copper

Quantum Efficiency (QE) measurements of single photon photoemission from a Cu(111) single crystal and a Cu polycrystal photocathodes, irradiated by 150 fs-6.28 eV laser pulses, are reported over a broad range of incidence angle, both in s and p polarizations. The maximum QE (\simeq 4\times10^{-4}) for polycrystalline Cu is obtained in p polarization at an angle of incidence {\theta} = 65deg. We observe a QE enhancement in p polarization which can not be explained in terms of optical absorption, a phenomenon known as vectorial photoelectric effect. Issues concerning surface roughness and symmetry considerations are addressed. An explanation in terms of non local conductivity tensor is proposed.Comment: 3 pages, 3 figure

On small-noise equations with degenerate limiting system arising from volatility models

The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of densities and implied volatilities in models involving instances of this equation, based on a careful implementation of saddle-point methods and (essentially) the explicit knowledge of Fourier transforms. Recent research on tail asymptotics for heat kernels [J-D. Deuschel, P.~Friz, A.~Jacquier, and S.~Violante. Marginal density expansions for diffusions and stochastic volatility, part II: Applications. 2013, arxiv:1305.6765] suggests to work with the rescaled variable $X^{\varepsilon}:=\varepsilon^{1/(1-\gamma)} X$: while allowing to turn a space asymptotic problem into a small-$\varepsilon$ problem with fixed terminal point, the process $X^{\varepsilon}$ satisfies a SDE in Wentzell--Freidlin form (i.e. with driving noise $\varepsilon dB$). We prove a pathwise large deviation principle for the process $X^{\varepsilon}$ as $\varepsilon \to 0$. As it will become clear, the limiting ODE governing the large deviations admits infinitely many solutions, a non-standard situation in the Wentzell--Freidlin theory. As for applications, the $\varepsilon$-scaling allows to derive exact log-asymptotics for path functionals of the process: while on the one hand the resulting formulae are confirmed by the CIR-CEV benchmarks, on the other hand the large deviation approach (i) applies to equations with a more general drift term and (ii) potentially opens the way to heat kernel analysis for higher-dimensional diffusions involving such an SDE as a component.Comment: 21 pages, 1 figur

Modulation effect in the differential rate for Supersymmetric Dark Matter detection

The modulation effect in the direct detection of supersymmetric Cold Dark Matter (CDM) particles is investigated. It is shown that, while normally the modulation effect in the total event rate is small, $\leq 5$, in some special cases it becomes much larger. It also becomes more pronounced in the differential event rate. It may thus be exploited to discriminate against background.Comment: 17 LATEX pages, 4 Tables, 4 PostScript Figures included. Phys. Rev. D, to be publishe

Non-islet-cell tumour hypoglycaemia in a cat with hepatocellular carcinoma.

An 11-year-old male neutered domestic shorthair cat presented with behavioural changes. Physical examination revealed bradycardia and a cranial abdominal mass. The cat was persistently hypoglycaemic (1.2 mmol/l; reference interval [RI] 3.5-5.5 mmol/l) with decreased fructosamine concentration suggesting chronic hypoglycaemia, and decreased insulin concentration excluding insulinoma. Alanine aminotransferase activity was markedly increased (1219.31 U/l; RI 15-60 U/l). On staging CT a large, multilobulated hepatic mass was identified, with no evidence of metastatic disease. After surgical removal serum glucose concentration and heart rate quickly returned to within the RIs. Histopathology was consistent with a solid-to-trabecular, well-differentiated, hepatocellular carcinoma. There was no recurrence of signs or mass during 8 months of follow-up, and the cat was still alive 20 months after surgery. Non-islet-cell tumour hypoglycaemia (NICTH) is a rare but life-threatening paraneoplastic syndrome. In humans, hepatocellular carcinoma is the most common epithelial tumour causing NICTH, but these are uncommon in cats, and associated paraneoplastic hypoglycaemia has not been reported. Possible mechanisms include aberrant secretion of big insulin growth factor 2; however, this could not be confirmed. NICTH should be considered in the differential diagnosis of cats with persistent hypoglycaemia

Histological evidence of superficial inflammation is associated with lower recurrence of equine sarcoids following surgical removal: A follow-up study of 106 tumours in 64 horses.

Although the equine sarcoid is the most common skin neoplasm in domesticated horses, histopathological characteristics have not previously been evaluated for association with recurrence. The aim of this retrospective cohort study was to investigate clinical and histopathological features of excised equine sarcoids and to evaluate their association with recurrence at the original surgical site and at new sites. Clinical records and excisional biopsies from 106 equine sarcoids from 64 horses referred to Leahurst Equine Hospital, University of Liverpool, between March 2010 and February 2015 were retrieved. Biopsies were re-evaluated histologically. Clinical data were obtained from hospital records, and owner-reported follow-up data were obtained by telephone questionnaire. Associations between clinical and histopathological features of sarcoids and their recurrence at the surgical site were determined using uni- and multivariable mixed effects logistic regression. Recurrence of sarcoids at the surgical site occurred in 30 horses (46.9%). Sarcoids developed at a distant site in 21 horses (32.8%). In the final mixed effects logistic regression model, only superficial inflammation was associated with reduced odds of recurrence at the surgical site (adjusted odds ratio, 0.32; 95% confidence intervals, 0.10-0.96; P=0.04). This suggests that the inflammatory process may play a role in protecting horses against the recurrence of sarcoids