Estimation of Risk-Neutral Density Surfaces

Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating risk-neutral densities associated with several maturities. Our method uses bicubic splines in order to achieve the desired smoothness for the estimation and an optimization model to choose the spline functions that best fit the price data. Semidefinite programming is employed to guarantee the nonnegativity of the densities. We illustrate the process using synthetic option price data generated using log-normal and absolute diffusion processes as well as actual price data for options on the S&P500 index. We also used the risk-neutral densities that we computed to price exotic options and observed that this approach generates prices that closely approximate the market prices of these options.

Representation of Nelson Algebras by Rough Sets Determined by Quasiorders

In this paper, we show that every quasiorder $R$ induces a Nelson algebra $\mathbb{RS}$ such that the underlying rough set lattice $RS$ is algebraic. We note that $\mathbb{RS}$ is a three-valued {\L}ukasiewicz algebra if and only if $R$ is an equivalence. Our main result says that if $\mathbb{A}$ is a Nelson algebra defined on an algebraic lattice, then there exists a set $U$ and a quasiorder $R$ on $U$ such that $\mathbb{A} \cong \mathbb{RS}$.Comment: 16 page

Synthesis and properties of Co-doped titanate nanotubes and their optical sensitization with methylene blue

Here we report on a novel chemical route to synthesize homogenous cobalt doped titanate nanotubes (CoTNT), using an amorphous Co-doped precursor. The influence of the synthesis temperature, autoclave dwell time and metal doping on the structural and microstructural as well as on the optical properties of the synthesized titanate nanotubes is studied and discussed. The optical band gaps of the CoTNT samples are red shifted in comparison with the values determined for the undoped samples, such red shifts bringing the absorption edge of the CoTNT samples into the visible region. CoTNT materials also demonstrate particular high adsorption ability for methylene blue, the amount of the adsorbed dye being higher than the one predictable for a monolayer formation. This suggests the possibility of intercalation of the dye molecule between the TiO6 layers of the TNT structure. It is also shown that the methylene blue sensitized Co-doped nanostructures are highly stable under UV radiation and present a strong and broad absorption in the visible region.Comment: 31 pages, 3 tables, 7 figure

Some boundary effects in quantum field theory

We have constructed a quantum field theory in a finite box, with periodic boundary conditions, using the hypothesis that particles living in a finite box are created and/or annihilated by the creation and/or annihilation operators, respectively, of a quantum harmonic oscillator on a circle. An expression for the effective coupling constant is obtained showing explicitly its dependence on the dimension of the box.Comment: 12 pages, Late

Construction of coherent states for physical algebraic systems

We construct a general state which is an eigenvector of the annihilation operator of the Generalized Heisenberg Algebra. We show for several systems, which are characterized by different energy spectra, that this general state satisfies the minimal set of conditions required to obtain Klauder's minimal coherent states.Comment: 15 pages, 3 figure

Ferromagnetic Ga₁ˍₓ Mnₓ As produced by ion implantation and pulsed-laser melting

We demonstrate the formation of ferromagneticGa₁ˍₓMnₓAsfilms by Mn ion implantation into GaAs followed by pulsed-laser melting. Irradiation with a single excimer laser pulse results in the epitaxial regrowth of the implanted layer with Mn substitutional fraction up to 80% and effective Curie temperature up to 29 K for samples with a maximum Mn concentration of x≈0.03. A remanent magnetization persisting above 85 K has been observed for samples with x≈0.10, in which 40% of the Mn resides on substitutional lattice sites. We find that the ferromagnetism in Ga₁ˍₓMnₓAs is rather robust to the presence of structural defects.The work at the Lawrence Berkeley National Laboratory was supported by the Director, Office of Science, Office of Basic Energy Sciences, Division of Materials Sciences and Engineering, of the U.S. Department of Energy under Contract No. DE-AC03-76SF00098. The work at Harvard was supported by NASA Grant No. NAG8-1680. One of the authors ~M.A.S.! acknowledges support from an NSF Graduate Research Fellowship

Band inversion driven by electronic correlations at the (111) LaAlO3_3/SrTiO3_3 interface

Quantum confinement at complex oxide interfaces establishes an intricate hierarchy of the strongly correlated $d$-orbitals which is widely recognized as a source of emergent physics. The most prominent example is the (001) LaAlO$_3$/SrTiO$_3$(LAO/STO) interface, which features a dome-shaped phase diagram of superconducting critical temperature and spin-orbit coupling (SOC) as a function of electrostatic doping, arising from a selective occupancy of $t_{2g}$ orbitals of different character. Here we study (111)-oriented LAO/STO interfaces - where the three $t_{2g}$ orbitals contribute equally to the sub-band states caused by confinement - and investigate the impact of this unique feature on electronic transport. We show that transport occurs through two sets of electron-like sub-bands, and the carrier density of one of the sets shows a non-monotonic dependence on the sample conductance. Using tight-binding modeling, we demonstrate that this behavior stems from a band inversion driven by on-site Coulomb interactions. The balanced contribution of all $t_{2g}$ orbitals to electronic transport is shown to result in strong SOC with reduced electrostatic modulation.Comment: 5 pages, 4 figures, (+ supplemental material