Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model

We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones Index data.Comment: 26 pages, 6 colored figure

Frustration and sound attenuation in structural glasses

Three classes of harmonic disorder systems (Lennard-Jones like glasses, percolators above threshold, and spring disordered lattices) have been numerically investigated in order to clarify the effect of different types of disorder on the mechanism of high frequency sound attenuation. We introduce the concept of frustration in structural glasses as a measure of the internal stress, and find a strong correlation between the degree of frustration and the exponent alpha that characterizes the momentum dependence of the sound attenuation $Gamma(Q)$$\simeq$$Q^\alpha$. In particular, alpha decreases from about d+1 in low-frustration systems (where d is the spectral dimension), to about 2 for high frustration systems like the realistic glasses examined.Comment: Revtex, 4 pages including 4 figure

Z' Physics

The limits on extra neutral gauge bosons, which could be reached at LEP2, are reviewed. Exclusion and discovery limits are discussed for f\bar f and WW production.Comment: 20 pages Latex, 7 figures included by epsfig, Contribution to the Proceedings the workshop "Physics at LEP2", Geneva, 199

The Raman coupling function in amorphous silica and the nature of the long wavelength excitations in disordered systems

New Raman and incoherent neutron scattering data at various temperatures and molecular dynamic simulations in amorphous silica, are compared to obtain the Raman coupling coefficient $C(\omega)$ and, in particular, its low frequency limit. This study indicates that in the $\omega \to 0$ limit $C(\omega)$ extrapolates to a non vanishing value, giving important indications on the characteristics of the vibrational modes in disordered materials; in particular our results indicate that even in the limit of very long wavelength the local disorder implies non-regular local atomic displacements.Comment: Revtex, 4 ps figure

Cattle and Sheep Mixed Grazing 1: Species Equivalence

The effects of mixed grazing of cattle and sheep depend on stocking rate (SR) and species ratio (Nicol, 1997). Calculations of SR and species ratio require the use of species equivalence. Equivalents are often estimated in terms of intake requirements calculated on the basis of LW0.75. Freer (1981) stated that LW0.9 would be more appropriate for comparisons of intake requirements for maintenance of sheep and cattle. Nonetheless, Nolan & Connolly (1977) stated that the equivalence is system-specific and depends on the species being considered. The objective of this experiment was to estimate species equivalence for the evaluation of the introduction of sheep into a cattle dairy system based on grazing in temperate Mexico

Altered resting-state functional connectivity in emotion-processing brain regions in adults who were born very preterm

Background. Very preterm birth (VPT; <32 weeks of gestation) has been associated with impairments in emotion regulation, social competence and communicative skills. However, the neuroanatomical mechanisms underlying such impairments have not been systematically studied. Here we investigated the functional integrity of the amygdala connectivity network in relation to the ability to recognize emotions from facial expressions in VPT adults. Method. Thirty-six VPT-born adults and 38 age-matched controls were scanned at rest in a 3-T MRI scanner. Restingstate functional connectivity (rs-fc) was assessed with SPM8. A seed-based analysis focusing on three amygdalar subregions (centro-medial/latero-basal/superficial) was performed. Participants’ ability to recognize emotions was assessed using dynamic stimuli of human faces expressing six emotions at different intensities with the Emotion Recognition Task (ERT). Results. VPT individuals compared to controls showed reduced rs-fc between the superficial subregion of the left amygdala, and the right posterior cingulate cortex (p = 0.017) and the left precuneus (p = 0.002). The VPT group further showed elevated rs-fc between the left superficial amygdala and the superior temporal sulcus (p = 0.008). Performance on the ERT showed that the VPT group was less able than controls to recognize anger at low levels of intensity. Anger scores were significantly associated with rs-fc between the superficial amygdala and the posterior cingulate cortex in controls but not in VPT individuals. Conclusions. These findings suggest that alterations in rs-fc between the amygdala, parietal and temporal cortices could represent the mechanism linking VPT birth and deficits in emotion processing

Elastic constant dishomogeneity and Q2Q^2 dependence of the broadening of the dynamical structure factor in disordered systems

We propose an explanation for the quadratic dependence on the momentum $Q$, of the broadening of the acoustic excitation peak recently found in the study of the dynamic structure factor of many real and simulated glasses. We ascribe the observed $Q^2$ law to the spatial fluctuations of the local wavelength of the collective vibrational modes, in turn produced by the dishomegeneity of the inter-particle elastic constants. This explanation is analitically shown to hold for 1-dimensional disordered chains and satisfatorily numerically tested in both 1 and 3 dimensions.Comment: 4 pages, RevTeX, 5 postscript figure