No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the "no-friction" case, we retrieve the result of Kabanov and Stricker (2003)

Phase coexistence and resistivity near the ferromagnetic transition of manganites

Pairing of oxygen holes into heavy bipolarons in the paramagnetic phase and their magnetic pair-breaking in the ferromagnetic phase [the so-called current-carrier density collapse (CCDC)] has accounted for the first-order ferromagnetic phase transition, colossal magnetoresistance (CMR), isotope effect, and pseudogap in doped manganites. Here we propose an explanation of the phase coexistence and describe the magnetization and resistivity of manganites near the ferromagnetic transition in the framework of CCDC. The present quantitative description of resistivity is obtained without any fitting parameters by using the experimental resistivities far away from the transition and the experimental magnetization, and essentially model independent.Comment: 10 pages, 3 figure

Energy-gap dynamics of superconducting NbN thin films studied by time-resolved terahertz spectroscopy

Using time-domain Terahertz spectroscopy we performed direct studies of the photoinduced suppression and recovery of the superconducting gap in a conventional BCS superconductor NbN. Both processes are found to be strongly temperature and excitation density dependent. The analysis of the data with the established phenomenological Rothwarf-Taylor model enabled us to determine the bare quasiparticle recombination rate, the Cooper pair-breaking rate and the electron-phonon coupling constant, \lambda = 1.1 +/- 0.1, which is in excellent agreement with theoretical estimates.Comment: 4 pages, 4 figures; final version, accepted for publication in Phys. Rev. Let

Optional Decomposition and Lagrange Multipliers

Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•S is a decreasing process. In this paper we give a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption

Hopping magneto-transport via nonzero orbital momentum states and organic magnetoresistance

In hopping magnetoresistance of doped insulators, an applied magnetic field shrinks the electron (hole) s-wave function of a donor or an acceptor and this reduces the overlap between hopping sites resulting in the positive magnetoresistance quadratic in a weak magnetic field, B. We extend the theory of hopping magnetoresistance to states with nonzero orbital momenta. Different from s-states, a weak magnetic field expands the electron (hole) wave functions with positive magnetic quantum numbers, m > 0, and shrinks the states with negative m in a wide region outside the point defect. This together with a magnetic-field dependence of injection/ionization rates results in a negative weak-field magnetoresistance, which is linear in B when the orbital degeneracy is lifted. The theory provides a possible explanation of a large low-field magnetoresistance in disordered pi-conjugated organic materials (OMAR).Comment: 4 pages, 3 figure

No arbitrage and closure results for trading cones with transaction costs

In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper (Schachermayer in Math. Finance 14:19–48, 2004). We give a necessary and sufficient condition for ${\mathcal{A}}$ , the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that, firstly, the corresponding cone of claims attainable for zero endowment, ${\tilde{ {\mathcal{A}}}}$ , does obey the fundamental theorem of asset pricing and, secondly, if ${\tilde{ {\mathcal{A}}}}$ is arbitrage-free then it is the closure of ${\mathcal{A}}$ . We then conclude by showing how to represent claims