An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

This paper extends the singular Fourier–Padé (SFP) method proposed by Chan [Singular Fourier–Padé series expansion of European option prices. Quant. Finance, 2018, 18, 1149–1171] for pricing/hedging early-exercise options–Bermudan, American and discrete-monitored barrier options–under a Lévy process. The current SFP method is incorporated with the Filon–Clenshaw–Curtis (FCC) rules invented by Domínguez et al. [Stability and error estimates for Filon–Clenshaw–Curtis rules for highly oscillatory integrals. IMA J. Numer. Anal., 2011, 31, 1253–1280], and we call the new method SFP–FCC. The main purpose of using the SFP–FCC method is to require a small number of terms to yield fast error convergence and to formulate option pricing and option Greek curves rather than individual prices/Greek values. We also numerically show that the SFP–FCC method can retain a global spectral convergence rate in option pricing and hedging when the risk-free probability density function is piecewise smooth. Moreover, the computational complexity of the method is O((L−1)(N+1)( Ñ log Ñ)) with N, a (small) number of complex Fourier series terms, Ñ, a number of Chebyshev series terms and L, the number of early-exercise/monitoring dates. Finally, we compare the accuracy and computational time of our method with those of existing techniques in numerical experiments

Lepton Flavor Violation in the SUSY-GUT Models with Lopsided Mass Matrix

The tiny neutrino masses measured in the neutrino oscillation experiments can be naturally explained by the supersymmetric see-saw mechanism. If the supersymmetry breaking is mediated by gravity, the see-saw models may predict observable lepton flavor violating effects. In this work, we investigate the lepton flavor violating process $\mu\to e\gamma$ in the kind of neutrino mass models based on the idea of the ``lopsided'' form of the charged lepton mass matrix. The constraints set by the muon anomalous magnetic moment are taken into account. We find the present models generally predict a much larger branching ratio of $\mu\to e\gamma$ than the experimental limit. Conversely, this process may give strong constraint on the lepton flavor structure. Following this constraint we then find a new kind of the charged lepton mass matrix. The feature of the structure is that both the elements between the 2-3 and 1-3 generations are ``lopsided''. This structure produces a very small 1-3 mixing and a large 1-2 mixing in the charged lepton sector, which naturally leads to small $Br(\mu\to e\gamma)$ and the LMA solution for the solar neutrino problem.Comment: 24 pages, 8 figure

Double Inflation in Supergravity and the Large Scale Structure

The cosmological implication of a double inflation model with hybrid + new inflations in supergravity is studied. The hybrid inflation drives an inflaton for new inflation close to the origin through supergravity effects and new inflation naturally occurs. If the total e-fold number of new inflation is smaller than $\sim 60$, both inflations produce cosmologically relevant density fluctuations. Both cluster abundances and galaxy distributions provide strong constraints on the parameters in the double inflation model assuming $\Omega_0=1$ standard cold dark matter scenario. The future satellite experiments to measure the angular power spectrum of the cosmic microwave background will make a precise determination of the model parameters possible.Comment: 19 pages (RevTeX file

Effective String Theory of Vortices and Regge Trajectories

Starting from a field theory containing classical vortex solutions, we obtain an effective string theory of these vortices as a path integral over the two transverse degrees of freedom of the string. We carry out a semiclassical expansion of this effective theory, and use it to obtain corrections to Regge trajectories due to string fluctuations.Comment: 27 pages, revtex, 3 figures, corrected an error with the cutoff in appendix E (was previously D), added more discussion of Fig. 3, moved some material in section 9 to a new appendi

Structural, electronic, and magneto-optical properties of YVO3_3

Optical and magneto-optical properties of YVO$_3$ single crystal were studied in FIR, visible, and UV regions. Two structural phase transitions at 75 K and 200 K were observed and established to be of the first and second order, respectively. The lattice has an orthorhombic $Pbnm$ symmetry both above 200 K as well as below 75 K, and is found to be dimerized monoclinic $Pb11$ in between. We identify YVO$_3$ as a Mott-Hubbard insulator with the optical gap of 1.6 eV. The electronic excitations in the visible spectrum are determined by three $d$-bands at 1.8, 2.4, and 3.3 eV, followed by the charge-transfer transitions at about 4 eV. The observed structure is in good agreement with LSDA+$U$ band structure calculations. By using ligand field considerations, we assigned these bands to the transitions to the $^4A_{2g}$, $^2E_{g} + ^2T_{1g}$, and $^2T_{2g}$ states. The strong temperature dependence of these bands is in agreement with the formation of orbital order. Despite the small net magnetic moment of 0.01 $\mu_B$ per vanadium, the Kerr effect of the order of $0.01^\circ$ was observed for all three $d$-bands in the magnetically ordered phase $T_{\text{N\'eel}}<116 K$. A surprisingly strong enhancement of the Kerr effect was found below 75 K, reaching a maximum of $0.1^\circ$. The effect is ascribed to the non-vanishing net orbital magnetic moment.Comment: Submitted to Phys. Rev.

Product-Group Unification in Type IIB String Thoery

The product-group unification is a model of unified theories, in which masslessness of the two Higgs doublets and absence of dimension-five proton decay are guaranteed by a symmetry. It is based on SU(5) x U(N) (N=2,3) gauge group. It is known that various features of the model are explained naturally, when it is embedded in a brane world. This article describes an idea of how to accommodate all the particles of the model in Type IIB brane world. The GUT-breaking sector is realized by a D3--D7 system, and chiral quarks and leptons arise from intersection of D7-branes. The D-brane configuration can be a geometric realization of the non-parallel family structure of quarks and leptons, an idea proposed to explain the large mixing angles observed in the neutrino oscillation. The tri-linear interaction of the next-to-minimal supersymmetric standard model is obtained naturally in some cases.Comment: 33 pages, 5 figure