Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model

A simple approach to determining the Gaussian kernel that constitutes the backbone of the multi-factor Heston model is proposed based on a suitable expansion in powers of volatilities of volatilities. This analysis provides Black-Scholes-like formulas for pricing European vanilla options, allowing for accurate approximations of the option prices under the multi-factor Heston model up to volatilities of volatilities on the order of 50%. The analysis also leads to a simple formula for the implied volatility showing that changes in the convexity of the volatility smile are due only to price skewness, and an easy formula to reproduce volatility indices via the realized volatility. Interestingly, the variance of the Gaussian kernel is equal to the variance of the continuously compounded return in the case of the Heston model. The empirical analyses presented assess the potential of our approach to capture market distortions while adequately forecasting the dynamics of the VIX index

Curvature Fields, Topology, and the Dynamics of Spatiotemporal Chaos

The curvature field is measured from tracer particle trajectories in a two-dimensional fluid flow that exhibits spatiotemporal chaos, and is used to extract the hyperbolic and elliptic points of the flow. These special points are pinned to the forcing when the driving is weak, but wander over the domain and interact in pairs at stronger driving, changing the local topology of the flow. Their behavior reveals a two-stage transition to spatiotemporal chaos: a gradual loss of spatial and temporal order followed by an abrupt onset of topological changes.Comment: 5 pages, 5 figure

Alien Registration- Ouellette, Clara M. (Brunswick, Cumberland County)

https://digitalmaine.com/alien_docs/31583/thumbnail.jp

Local Incarceration As Social Control: A National Analysis Of Social, Economic, And Political Determinants Of Jail Use In The United States

Previous research indicates that community context impacts social control. Several scholars have identified social, economic and political factors to be important predictors of police force size, arrests rates and incarceration rates. Few studies, however, have examined jail use as an indicator of formal social control. Millions of individuals pass through jails every year, and these local facilities are at the center of the criminal justice system, reflecting mobilization of social control by law enforcement, courts and corrections. Drawing from a social threat perspective and political framework, this study seeks to understand how community context affects local incarceration. Specifically, this study examines to what extent jail use is influenced by racial and ethnic heterogeneity, economic inequality, and political conservatism using a nationally representative sample of U.S. jails. The main dataset for this study was developed from the Bureau of Justice Statistics’s 2013 Census of Jails. Using the Law Enforcement Crosswalk File and government identifiers, the Census of Jails was merged with other secondary datasets to investigate county-level variation in local incarceration. This study finds that community context impacts jail use. It is found that countylevel black presence and Hispanic presence differentially impact jail use. Specifically, racial threat has a U-shaped curvilinear relationship with local incarceration, and ethnic threat has an inverted U-shaped curvilinear relationship with jail use. The economic v characteristics of counties also differentially impact jail use. Income inequality is negatively related to jail use, and both the unemployment rate and poverty rate are positively associated with jail use. Political conservatism among county residents is also associated with higher rates of jail use. This study reveals the importance of examining the impact of minority threat by assessing the racial make-up of local areas separately from ethnic composition. Additionally, the importance of testing for nonlinear effects is revealed. Further, inclusion of counties’ economic conditions and political ideology are critical in more fully accounting for how variations in the local community impact jail use

Alien Registration- Ouellette, Clara M. (Brunswick, Cumberland County)

https://digitalmaine.com/alien_docs/31583/thumbnail.jp

SU(3) Chiral Symmetry in Non-Relativistic Field Theory

Applications imposing SU(3) chiral symmetry on non-relativistic field theory are considered. The first example is a calculation of the self-energy shifts of the spin-3/2 decuplet baryons in nuclear matter, from the chiral effective Lagrangian coupling octet and decuplet baryon fields. Special attention is paid to the self-energy of the delta baryon near the saturation density of nuclear matter. We find contributions to the mass shifts from contact terms in the effective Lagrangian with coefficients of unknown value. As a second application, we formulate an effecive field theory with manifest SU(2) chiral symmetry for the interactions of K and eta mesons with pions at low energy. SU(3) chiral symmetry is imposed on the effective field theory by a matching calculation onto three-flavor chiral perturbation theory. The effective Lagrangian for the pi-K and pi-eta sectors is worked out to order Q^4; the effective Lagrangian for the K-K sector is worked out to order Q^2 with contact interactions to order Q^4. As an application of the method, we calculate the KK s-wave scattering phase shift at leading order and compare with chiral perturbation theory. We conclude with a discussion of the limitations of the approach and propose new directions for work where the matching calculation may be useful.Comment: 85 pages, Ph.D. Thesi

Alien Registration- Ouellette, Edna M. (Madison, Somerset County)

https://digitalmaine.com/alien_docs/7016/thumbnail.jp

Alien Registration- Ouellette, Elodie M. (Brunswick, Cumberland County)

https://digitalmaine.com/alien_docs/23457/thumbnail.jp

The Influence of High Temperature and Two Hurricanes on the Success of Late Season Loggerhead Nests in Broward County, Florida, in 2005

The success of loggerhead nests, defined as the percentage of the eggs per nest resulting in live released hatchlings, declined to unusually low levels during the latter part of the 2005 season. The mean successes were 81.1, 61.1, 32.8 and 13.4 percent for nests deposited in May, June, July and August, respectively. Many eggs from the August nests appeared to be unusually dried. There was a significant inverse relationship (P \u3c .0001) between the daily air temperature anomaly on the day of nest deposition and the average daily success rate of loggerhead nests in 2005. The daily temperature anomaly is the deviation of the average air temperature each day from the daily climatological average values. There was also a highly significant inverse relationship between maximum daily air temperature and nest success rate in 2005. These relationships were not found in the previous two years. The actual average temperature during August in 2005 was 29.7°C, compared to 28.9 and 29.2°C in 2004 and 2003, respectively. The 2005 average was statistically different from the other two years (one way ANOVA, P \u3c .001) and also from the climatological average temperature of 28.6°C. Mean daily success rates were less than 50 percent for nests deposited during the 50 days preceding the impact of Hurricane Katrina on August 25. Nests deposited in the first two weeks of August were also impacted by Hurricane Rita. Mean daily success rates were less than 10 percent on 7 days during this period