Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our results to theirs. We present numerical results which show that our approach implies very realistic volatility surfaces even when calibrating only to at-the-money options. Finally, we apply our approach to options on the S&P 500 index.Comment: 23 pages, 5 figures, to appear in Finance and Stochastic

The Immunological Basis of Dry Eye Disease and Current Topical Treatment Options.

Homeostasis of the lacrimal functional unit is needed to ensure a well-regulated ocular immune response comprising innate and adaptive phases. When the ocular immune system is excessively stimulated and/or immunoregulatory mechanisms are disrupted, the balance between innate and adaptive phases is dysregulated and chronic ocular surface inflammation can result, leading to chronic dry eye disease (DED). According to the Tear Film and Ocular Surface Society Dry Eye Workshop II definition, DED is a multifactorial disorder of the ocular surface characterized by impairment and loss of tear homeostasis (hyperosmolarity), ocular discomfort or pain, and neurosensory abnormalities. Dysregulated ocular immune responses result in ocular surface damage, which is a further contributing factor to DED pathology. Several therapeutics are available to break the vicious circle of DED and prevent chronic disease and progression, including immunosuppressive agents (steroids) and immunomodulators (cyclosporine and lifitegrast). Given the chronic inflammatory nature of DED, each of these agents is commonly used in clinical practice. In this study, we review the immunopathology of DED and the molecular and cellular actions of current topical DED therapeutics to inform clinical decision making

SiO collimated outflows driven by high-mass YSOs in G24.78+0.08

We imaged the molecular outflows towards the cluster of high-mass young stellar objects G24.78+0.08 at high-angular resolution using SiO emission, which is considered the classical tracer of protostellar jets. We performed SiO observations with the VLA interferometer in the J = 1-0 v=0 transition and with the SMA array in the 5-4 transition. A complementary IRAM 30-m single-dish survey in the (2-1), (3-2), (5-4), and (6-5) SiO lines was also carried out. Two collimated SiO high-velocity outflows driven by the A2 and C millimeter continuum massive cores have been imaged. On the other hand, we detected no SiO outflow driven by the young stellar objects in more evolved evolutionary phases that are associated with ultracompact (B) or hypercompact (A1) HII regions. The LVG analysis reveals high-density gas (10^3-10^4 cm-3), with well constrained SiO column densities (0.5-1 10^15 cm-2). The driving source of the A2 outflow is associated with typical hot core tracers such as methyl formate, vinyl cyanide, cyanoacetilene, and acetone. The driving source of the main SiO outflow in G24 has an estimated luminosity of a few 10^4 Lsun (typical of a late O-type star) and is embedded in the 1.3 mm continuum core A2, which in turn is located at the centre of a hot core that rotates on a plane perpendicular to the outflow main axis. The present SiO images support a scenario similar to the low-mass case for massive star formation, where jets that are clearly traced by SiO emission, create outflows of swept-up ambient gas usually traced by CO.Comment: Astronomy & Astrophysics, in pres

Boltzmann-Gibbs thermal equilibrium distribution for classical systems and Newton law: A computational discussion

We implement a general numerical calculation that allows for a direct comparison between nonlinear Hamiltonian dynamics and the Boltzmann-Gibbs canonical distribution in Gibbs $\Gamma$-space. Using paradigmatic first-neighbor models, namely, the inertial XY ferromagnet and the Fermi-Pasta-Ulam $\beta$-model, we show that at intermediate energies the Boltzmann-Gibbs equilibrium distribution is a consequence of Newton second law (${\mathbf F}=m{\mathbf a}$). At higher energies we discuss partial agreement between time and ensemble averages.Comment: New title, revision of the text. EPJ latex, 4 figure

The dusty disk around VV Ser

We have carried out observations at millimeter and centimeter wavelengths towards VV Ser using the Plateau de Bure Interferometer and the Very Large Array. This allows us to compute the SED from near infrared to centimeter wavelengths. The modeling of the full SED has provided insight into the dust properties and a more accurate value of the disk mass. The mass of dust in the disk around VV Ser is found to be about 4 10^(-5) Msun, i.e. 400 times larger than previous estimates. Moreoever, the SED can only be accounted for assuming dust stratification in the vertical direction across the disk. The existence of small grains (0.25--1 micron) in the disk surface is required to explain the emission at near- and mid-infrared wavelengths. The fluxes measured at millimeter wavelengths imply that the dust grains in the midplane have grown up to very large sizes, at least to some centimeters.Comment: To appear in Ap

Automated Experimental Modal Analysis of Bladed Wheels with an Anthropomorphic Robotic Station

Experimental modal analysis is challenging when the component has a highly three-dimensional shape, since a great number of measurement points are needed with accurate positioning. An anthropomorphic robotic station is proposed to automate this analysis, specifically on bladed wheels. This provides a reliable control of the spot location and of the beam orientation of a Laser Doppler Vibrometer. The modal frequencies were obtained along with the vibrational shapes and their spatial resolution was managed by exploiting the programming flexibility of the robotic station. The SAFE diagram was easily obtained by measuring a single point for each sector, and an extension of this diagram was demonstrated for the splitter blade wheels. The use of multiple measurement points, for each wheel sector, significantly improved the characterization of the modes having the same number of nodal diameters, hence the same shape coordinate on the SAFE diagram

Observational evidence of the formation of cyanopolyynes in CRL618 through the polimerization of HCN

The abundance ratio of consecutive members of the cyanopolyynes family has been explored in CRL618 using data acquired in a complete line survey covering the frequency range 81-356 GHz. The Jup range explored for the different molecules is the following: 1 to 4 for HCN and HNC, 9 to 39 for HC3N, 31 to 133 for HC5N, and 72 to 85 for HC7N (not detected beyond Jup=85). The lowest vibrationally excited state of HC7N (nu_15 at 62 cm^-1) has been tentatively detected. Data analysis has been performed by extending our previous geometrical and radiative transfer model of the slowly expanding envelope (SEE) surrounding the compact central continuum source of CRL 618, that was established from the study of rotational lines in several vibrationally excited states of HC_3N. The new lines analyzed here require to model the high velocity wind (HVW) component and the colder circumstellar gas, remnant of the AGB phase of CRL618. The derived HC3N/HC5N and HC5N/HC7N abundance ratios from this set of uniformly calibrated lines are between 3 and 6 in the different regions, similar to standard values in the CSM and ISM, and consistent with previous estimates obtained from ISO observations and chemical models. However, the abundance ratios of HC3N, HC5N and HC7N with respect to HCN are at least two orders of magnitude larger than those typical for AGB C-rich stars, such as IRC+10216. This fact indicates that, in the short transition toward the Planetary Nebula phase, HCN is quickly reprocessed into longer cyanopolyyne chains. A similar behavior was previously found in this object for the polyacetylenic chains (C(2n)H2).Comment: 8 figures, accepted in ApJ main journa

An application of parallel computing to the simulation of volcanic eruptions

A parallel code for the simulation of the transient 3D dispersal of volcanic particles produced by explosive eruptions is presented. The model transport equations, based on the multiphase flow theory, describe the atmospheric dynamics of the gas-particle mixture ejected through the volcanic crater. The numerics is based on a finite-volume discretization scheme and a pressure-based iterative non-linear solver suited to compressible multiphase flows. The code has been parallelized by adopting an ad hoc domain partitioning scheme that enforces the load balancing. An optimized communication layer has been built over the Message-Passing Interface. The code proved to be remarkably efficient on several high-performance platforms and makes it possible to simulate fully 3D eruptive scenarios on realistic volcano topography

Molecular gas in QSO host galaxies at z>5

We present observations with the IRAM Plateau de Bure Interferometer of three QSOs at z>5 aimed at detecting molecular gas in their host galaxies as traced by CO transitions. CO (5-4) is detected in SDSSJ033829.31+002156.3 at z=5.0267, placing it amongst the most distant sources detected in CO. The CO emission is unresolved with a beam size of ~1", implying that the molecular gas is contained within a compact region, less than ~3kpc in radius. We infer an upper limit on the dynamical mass of the CO emitting region of ~3x10^10 Msun/sin(i)^2. The comparison with the Black Hole mass inferred from near-IR data suggests that the BH-to-bulge mass ratio in this galaxy is significantly higher than in local galaxies. From the CO luminosity we infer a mass reservoir of molecular gas as high as M(H2)=2.4x10^10 Msun, implying that the molecular gas accounts for a significant fraction of the dynamical mass. When compared to the star formation rate derived from the far-IR luminosity, we infer a very short gas exhaustion timescale (~10^7 yrs), comparable to the dynamical timescale. CO is not detected in the other two QSOs (SDSSJ083643.85+005453.3 and SDSSJ163033.90+401209.6) and upper limits are given for their molecular gas content. When combined with CO observations of other type 1 AGNs, spanning a wide redshift range (0<z<6.4), we find that the host galaxy CO luminosity (hence molecular gas content) and the AGN optical luminosity (hence BH accretion rate) are correlated, but the relation is not linear: L(CO) ~ [lambda*L_lambda(4400A)]^0.72. Moreover, at high redshifts (and especially at z>5) the CO luminosity appears to saturate. We discuss the implications of these findings in terms of black hole-galaxy co-evolution.Comment: Accepted for publication in A&A Letters, 6 pages, 3 figure