Strings and branes in plane waves

An overview of string theory in the maximally supersymmetric plane-wave background is given, and some supersymmetric D-branes are discussed.Comment: 12 pages, LateX, needs fortschritte.sty; to appear in the proceedings of the 36th International Symposium Ahrenshoop on the Theory of Elementary Particles: Recent Developments in String/M-Theory and Field Theory, Berlin, Germany, 26-30 Aug 200

Arbitrage-Free Smoothing of the Implied Volatility Surface

The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local volatilities, and ultimately, into mispricings. The common smoothing algorithms of the implied volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing the implied volatility smile in an arbitrage-free way. Our methodology is simple to implement, computationally cheap and builds on the well-founded theory of natural smoothing splines under suitable shape constraints. Unlike other methods, our approach also works when input data are scarce and not arbitrage-free. Thus, it can easily be integrated into standard local volatility pricers.Arbitrage-Free Smoothing, Volatility, Implied Volatility Surface

GCSRL - A Logic for Stochastic Reward Models with Timed and Untimed Behaviour

In this paper we define the logic GCSRL (generalised continuous stochastic reward logic) that provides means to reason about systems that have states which sojourn times are either greater zero, in which case this sojourn time is exponentially distributed (tangible states), or zero (vanishing states).\ud In case of generalised stochastic Petri nets (GSPNs) and stochastic process algebras it turned out that these vanishing states can be very useful when it comes to define system behaviour. In the same way these states are useful for defining system properties using stochastic logics. We extend both the semantic model and the semantics of CSRL such that it allows to attach impulse rewards to transitions emanating from vanishing states. We show by means of a small example how model checking GCSRL formulae works