Utility based pricing and hedging of jump diffusion processes with a view to applications

We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these by a re-interpretation of the framework. This leads to the notion of an implied drift. We also present a heuristic derivation of the marginal indifference price and the marginal optimal hedge that might be useful in numerical computations.Comment: 23 pages, v2: publishe

Dynamical Tide in Solar-Type Binaries

Circularization of late-type main-sequence binaries is usually attributed to turbulent convection, while that of early-type binaries is explained by resonant excitation of g modes. We show that the latter mechanism operates in solar-type stars also and is at least as effective as convection, despite inefficient damping of g modes in the radiative core. The maximum period at which this mechanism can circularize a binary composed of solar-type stars in 10 Gyr is as low as 3 days, if the modes are damped by radiative diffusion only and g-mode resonances are fixed; or as high as 6 days, if one allows for evolution of the resonances and for nonlinear damping near inner turning points. Even the larger theoretical period falls short of the observed transition period by a factor two.Comment: 17 pages, 2 postscript figures, uses aaspp4.sty. Submitted to Ap

Seismic tests for solar models with tachocline mixing

We have computed accurate 1-D solar models including both a macroscopic mixing process in the solar tachocline as well as up-to-date microscopic physical ingredients. Using sound speed and density profiles inferred through primary inversion of the solar oscillation frequencies coupled with the equation of thermal equilibrium, we have extracted the temperature and hydrogen abundance profiles. These inferred quantities place strong constraints on our theoretical models in terms of the extent and strength of our macroscopic mixing, on the photospheric heavy elements abundance, on the nuclear reaction rates such as $S_{11}$ and $S_{34}$ and on the efficiency of the microscopic diffusion. We find a good overall agreement between the seismic Sun and our models if we introduce a macroscopic mixing in the tachocline and allow for variation within their uncertainties of the main physical ingredients. From our study we deduce that the solar hydrogen abundance at the solar age is $X_{\rm inv}=0.732\pm 0.001$ and that based on the $^9$Be photospheric depletion, the maximum extent of mixing in the tachocline is 5% of the solar radius. The nuclear reaction rate for the fundamental $pp$ reaction is found to be $S_{11}(0)=4.06\pm 0.07$ $10^{-25}$ MeV barns, i.e., 1.5% higher than the present theoretical determination. The predicted solar neutrino fluxes are discussed in the light of the new SNO/SuperKamiokande results.Comment: 16 pages, 12 figures, A&A in press (1) JILA, University of Colorado, Boulder, CO 80309-0440, USA, (2) LUTH, Observatoire de Paris-Meudon, 92195 Meudon, France, (3) Tata Institute of Fundamental Research, Homi Bhabha road, Mumbai 400005, India, (4) Department of Physics, University of Mumbai, Mumbai 400098, Indi

A Robust Measure of Tidal Circularization in Coeval Binary Populations: The solar-type spectroscopic Binary Population in The Open Cluster M35

We present a new homogeneous sample of 32 spectroscopic binary orbits in the young (~ 150 Myr) main-sequence open cluster M35. The distribution of orbital eccentricity vs. orbital period (e-log(P)) displays a distinct transition from eccentric to circular orbits at an orbital period of ~ 10 days. The transition is due to tidal circularization of the closest binaries. The population of binary orbits in M35 provide a significantly improved constraint on the rate of tidal circularization at an age of 150 Myr. We propose a new and more robust diagnostic of the degree of tidal circularization in a binary population based on a functional fit to the e-log(P) distribution. We call this new measure the tidal circularization period. The tidal circularization period of a binary population represents the orbital period at which a binary orbit with the most frequent initial orbital eccentricity circularizes (defined as e = 0.01) at the age of the population. We determine the tidal circularizationperiod for M35 as well as for 7 additional binary populations spanning ages from the pre main-sequence (~ 3 Myr) to late main-sequence (~ 10 Gyr), and use Monte Carlo error analysis to determine the uncertainties on the derived circularization periods. We conclude that current theories of tidal circularization cannot account for the distribution of tidal circularization periods with population age.Comment: 37 pages, 9 figures, to be published in The Astrophysical Journal, February 200

Standard Solar models in the Light of New Helioseismic Constraints II. Mixing Below the Convective Zone

In previous work, we have shown that recent updated standard solar models cannot reproduce the radial profile of the sound speed at the base of the convective zone (CZ) and fail to predict the Li7 depletion. In parallel, helioseismology has shown that the transition from differential rotation in the CZ to almost uniform rotation in the radiative solar interior occurs in a shallow layer called the tachocline. This layer is presumably the seat of large scale circulation and of turbulent motions. Here, we introduce a macroscopic transport term in the structure equations, which is based on a hydrodynamical description of the tachocline proposed by Spiegel and Zahn, and we calculate the mixing induced within this layer. We discuss the influence of different parameters that represent the tachocline thickness, the Brunt-Vaissala frequency at the base of the CZ, and the time dependence of this mixing process along the Sun's evolution. We show that the introduction of such a process inhibits the microscopic diffusion by about 25%. Starting from models including a pre-main sequence evolution, we obtain: a) a good agreement with the observed photospheric chemical abundance of light elements such as He3, He4, Li7 and Be9, b) a smooth composition gradient at the base of the CZ, and c) a significant improvement of the sound speed square difference between the seismic sun and the models in this transition region, when we allow the phostospheric heavy element abundance to adjust, within the observational incertitude, due to the action of this mixing process. The impact on neutrino predictions is also discussed.Comment: 15 pages, 7 figures, to be published in ApJ (used emulateapj style for latex2e). New email for A. S. Brun: [email protected]

Neutron star spin-kick velocity correlation effect on binary neutron star coalescence rates and spin-orbit misalignment of the components

We study the effect of the neutron star spin -- kick velocity alignment observed in young radio pulsars on the coalescence rate of binary neutron stars. Two scenarios of the neutron star formation are considered: when the kick is always present and when it is small or absent if a neutron star is formed in a binary system due to electron-capture degenerate core collapse. The effect is shown to be especially strong for large kick amplitudes and tight alignments, reducing the expected galactic rate of binary neutron star coalescences compared to calculations with randomly directed kicks. The spin-kick correlation also leads to a much narrower NS spin-orbit misalignment.Comment: 7 pages, 5 figures, accepted for publiction in MNRA

Thermoelectric transport in strained Si and Si/Ge heterostructures

The anisotropic thermoelectric transport properties of bulk silicon strained in [111]-direction were studied by detailed first-principles calculations focussing on a possible enhancement of the power factor. Electron as well as hole doping were examined in a broad doping and temperature range. At low temperature and low doping an enhancement of the power factor was obtained for compressive and tensile strain in the electron-doped case and for compressive strain in the hole-doped case. For the thermoelectrically more important high temperature and high doping regime a slight enhancement of the power factor was only found under small compressive strain with the power factor overall being robust against applied strain. To extend our findings the anisotropic thermoelectric transport of an [111]-oriented Si/Ge superlattice was investigated. Here, the cross-plane power factor under hole-doping was drastically suppressed due to quantum-well effects, while under electron-doping an enhanced power factor was found. With that, we state a figure of merit of ZT$=0.2$ and ZT$=1.4$ at T=\unit[300]{K} and T=\unit[900]{K} for the electron-doped [111]-oriented Si/Ge superlattice. All results are discussed in terms of band structure features

CP and related phenomena in the context of Stellar Evolution

We review the interaction in intermediate and high mass stars between their evolution and magnetic and chemical properties. We describe the theory of Ap-star `fossil' fields, before touching on the expected secular diffusive processes which give rise to evolution of the field. We then present recent results from a spectropolarimetric survey of Herbig Ae/Be stars, showing that magnetic fields of the kind seen on the main-sequence already exist during the pre-main sequence phase, in agreement with fossil field theory, and that the origin of the slow rotation of Ap/Bp stars also lies early in the pre-main sequence evolution; we also present results confirming a lack of stars with fields below a few hundred gauss. We then seek which macroscopic motions compete with atomic diffusion in determining the surface abundances of AmFm stars. While turbulent transport and mass loss, in competition with atomic diffusion, are both able to explain observed surface abundances, the interior abundance distribution is different enough to potentially lead to a test using asterosismology. Finally we review progress on the turbulence-driving and mixing processes in stellar radiative zones.Comment: Proceedings of IAU GA in Rio, JD4 on Ap stars; 10 pages, 7 figure

Beschäftigung und Arbeitslosigkeit älterer Arbeitnehmer : Eine mikroökonometrische Evaluation der Arbeitslosengeldreform von 1997

Im Jahr 1997 wurden die maximalen Anspruchsdauern auf Arbeitslosengeld für ältere Beschäftigte verkürzt. In der vorliegenden Arbeit werden die Auswirkungen dieser Reform auf Übergänge von Beschäftigung in Arbeitslosigkeit und Verweildauern in Arbeitslosigkeit dieser Gruppe untersucht. Die Analyse beruht auf der IAB-Beschäftigtenstichprobe 1975-2001, welche tagesgenaue Informationen von über einer Million sozialversicherungspflichtigen Beschäftigten und Leistungsempfängern der Bundesagentur für Arbeit umfasst. Es kann festgestellt werden, dass die Wahrscheinlichkeit, arbeitslos zu werden, bei der betrachteten Gruppe der 54-56jährigen nach der Reform abnimmt. Außerdem ist eine Verkürzung der Verweildauern in Arbeitslosigkeit nach der Reform zu beobachten. Die 54-56jährigen unterscheiden sich nach der Reform nicht mehr von der Gruppe der 52-53jährigen. Insbesondere größere Unternehmen und deren Beschäftigte nutzen die langen Anspruchsdauern auf Arbeitslosengeld zur Frühverrentung

Interacting Binaries with Eccentric Orbits. Secular Orbital Evolution Due To Conservative Mass Transfer

We investigate the secular evolution of the orbital semi-major axis and eccentricity due to mass transfer in eccentric binaries, assuming conservation of total system mass and orbital angular momentum. Assuming a delta function mass transfer rate centered at periastron, we find rates of secular change of the orbital semi-major axis and eccentricity which are linearly proportional to the magnitude of the mass transfer rate at periastron. The rates can be positive as well as negative, so that the semi-major axis and eccentricity can increase as well as decrease in time. Adopting a delta-function mass-transfer rate of 10^{-9} M_\sun {\rm yr}^{-1} at periastron yields orbital evolution timescales ranging from a few Myr to a Hubble time or more, depending on the binary mass ratio and orbital eccentricity. Comparison with orbital evolution timescales due to dissipative tides furthermore shows that tides cannot, in all cases, circularize the orbit rapidly enough to justify the often adopted assumption of instantaneous circularization at the onset of mass transfer. The formalism presented can be incorporated in binary evolution and population synthesis codes to create a self-consistent treatment of mass transfer in eccentric binaries.Comment: 16 pages, 8 figures, Accepted by The Astrophysical Journa